Reiss and Thomas' automatic selection of the number of extremes

DOI10.1016/j.csda.2003.11.011zbMath1430.62096OpenAlexW1967070567MaRDI QIDQ957044

Cláudia Neves, M. Isabel Fraga Alves

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2003.11.011

zbMATH Keywords

simulationmean squared errorregular variationsemiparametric estimationgeneralized extreme value distributiongeneralized Pareto distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32)

Related Items (18)

Threshold selection in univariate extreme value analysis ⋮ Estimation of the distortion risk premium for heavy-tailed losses under serial dependence ⋮ Estimation for heavy tailed moving average process ⋮ Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions ⋮ Estimating the conditional tail expectation in the case of heavy-tailed losses ⋮ Estimating L-functionals for heavy-tailed distributions and application ⋮ Statistical estimate of the proportional hazard premium of loss ⋮ Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data ⋮ Invited article by M. Gidea: Extreme events and emergency scales ⋮ Extreme Value Analysis of Mortality at the Oldest Ages: A Case Study Based on Individual Ages at Death ⋮ Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses ⋮ Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts ⋮ Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach ⋮ Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution ⋮ Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions ⋮ Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime ⋮ On discrimination between classes of distribution tails ⋮ Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation

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