A simple general approach to inference about the tail of a distribution

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Publication:1224394

DOI10.1214/aos/1176343247zbMath0323.62033OpenAlexW2048649579MaRDI QIDQ1224394

Bruce M. Hill

Publication date: 1975

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176343247



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A Class of Semi-parametric Probability Weighted Moment Estimators, Estimating a Stability Parameter: Asymptotics and Simulations, Peaks-Over-Threshold Modeling Under Random Censoring, Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence, Bias reduction of a tail index estimator through an external estimation of the second-order parameter, Asymptotic results in partially non-regular log-exponential distributions, Nonparametric inferences for kurtosis and conditional kurtosis, A functional law of the iterated logarithm for the dekkers-einmahl-de haan tail index estimator, AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS, A tail estimator for the index of the stable paretian distribution, Estimator of the Pareto Index Based on Nonparametric Test, Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling, Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses, ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA, ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY, Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach, Tail Index Estimation in Models of Generalized Order Statistics, Estimating Extreme Quantiles of Weibull Tail Distributions, How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events, Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures, Estimation of the Haezendonck-Goovaerts risk measure for extreme risks, A Discrimination Test for Tails of Weibull-Type Distributions, Minimum-Distance Estimator for Stable Exponent, Reduced-Bias Tail Index Estimators Under a Third-Order Framework, A new test for tail index with application to Danish fire loss data, Hunting for Black Swans in the European Banking Sector Using Extreme Value Analysis, Diffusive behavior and the modeling of characteristic times in limit order executions, Smooth tail-index estimation, Modeling growth stocks via birth-death processes, DYNAMIC FACTOR MODELS, Empirical likelihood test for the application of swqmele in fitting an arma‐garch model, Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes, Local asymptotic normality of intermediate and central order statistics, Prediction of record values, Bootstrap confidence intervals for the pareto index, An Estimator of the Exponent of Regular Variation Based on K-Record Values, Efficiency of convex combinations of pickands estimator of the extreme value index, A robust process capability index, A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation, Threshold Life Tables and Their Applications, Tail index varying coefficient model, Explicit and combined estimators for parameters of stable distributions, On a Minimum Distance Procedure for Threshold Selection in Tail Analysis, Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks, Improved estimators of tail index and extreme quantiles under dependence serials, A class of bootstrap tests on the tail index, Tail index partition-based rules extraction with application to tornado damage insurance, A weighted composite log-likelihood approach to parametric estimation of the extreme quantiles of a distribution, A refined Weissman estimator for extreme quantiles, DEA model considering outputs with stochastic noise and a heavy-tailed (stable) distribution, A robust prediction error criterion for pareto modelling of upper tails, ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL, Heavy-Tailed Density Estimation, A bootstrap method to test for the existence of finite moments, Location invariant heavy tail index estimation with block method, GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series, Outlier detection based on extreme value theory and applications, Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles, Extreme Value Theory and Statistics of Univariate Extremes: A Review, On dealing with the unknown population minimum in parametric inference, Reduced bias estimation of the shape parameter of the log-logistic distribution, Nonparametric asymptotic confidence intervals for extreme quantiles, SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL, On the use of \(L\)-functionals in regression models, Asymptotic predictive inference of negative lower tail index distributions, Estimation of extreme quantiles from heavy-tailed distributions with neural networks, Unnamed Item, Adaptive robust large volatility matrix estimation based on high-frequency financial data, Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series, Sequential Monte Carlo samplers to fit and compare insurance loss models, Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data, Comparison of the several parameterized estimators for the positive extreme value index, Analysis of wildfires and their extremes via spatial quantile autoregressive model, Tail index estimation in the presence of covariates: stock returns' tail risk dynamics, Nonparametric tests for market timing ability using daily mutual fund returns, Expert Kaplan–Meier estimation, Soft splicing model: bridging the gap between composite model and finite mixture model, Inference of high quantiles of a heavy-tailed distribution from block data, CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES, Volatility models for stylized facts of high‐frequency financial data, Regional extreme value index estimation and a test of tail homogeneity, A modeler's guide to extreme value software, EXTREME VALUE ANALYSIS WITHOUT THE LARGEST VALUES: WHAT CAN BE DONE?, Time series estimation of the dynamic effects of disaster-type shocks, Poisson edge growth and preferential attachment networks, Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data, Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model, Extreme value inference for heterogeneous power law data, Estimation of extreme quantiles conditioning on multivariate critical layers, Estimation of tail parameters with missing largest observations, Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference, On uniform inference in nonlinear models with endogeneity, Optimal weighted pooling for inference about the tail index and extreme quantiles, Dependent conditional tail expectation for extreme levels, Combined tail estimation using censored data and expert information, The exchange rate risk of Chinese yuan: Using VaR and ES based on extreme value theory, α-stable laws for noncoding regions in DNA sequences, Statistical learning theory for fitting multimodal distribution to rainfall data: an application, On ecological aspects of dynamics for zero slope regression for water pollution in Chile, Extreme values identification in regression using a peaks-over-threshold approach, Phase-type mixture-of-experts regression for loss severities, Extremal linear quantile regression with Weibull-type tails, Estimation of extreme survival probabilities with cox model, Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not?, Sample Path Large Deviations for Order Statistics, Estimating the tail conditional expectation of Walmart stock data, TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS, ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION, Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution, Extreme behaviour for bivariate elliptical distributions, A review of more than one hundred Pareto-tail index estimators, Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour, Using a bootstrap method to choose the sample fraction in tail index estimation, Extreme value index estimator using maximum likelihood and moment estimation, A simple second-order reduced bias’ tail index estimator, ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING, Extreme value analysis within a parametric outlier detection framework, Rank tests of unit root hypothesis with infinite variance errors, Residual estimators, Conditional tail behaviour and Value at Risk, Weiss-Hill estimator, A practical method for analysing heavy tailed data, A New Class of Bayesian Estimators in Paretian Excess-of-Loss Reinsurance, TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS, Parameter Estimation of Stable Distributions, MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES, IPO estimation of heaviness of the distribution beyond regularly varying tails, A heuristic adaptive choice of the threshold for bias-corrected Hill estimators, ON MARINE LIABILITY PORTFOLIO MODELING, ASYMMETRY OF RETURNS IN THE AUSTRALIAN STOCK MARKET, A Sieve model for extreme values, Assessing component reliability using lifetime data from systems, Backtesting extreme value theory models of expected shortfall, Premium Calculation for Fat-tailed Risk, Extremiles: A New Perspective on Asymmetric Least Squares, On the superposition of heterogeneous traffic at large time scales, A POISSON–PARETO MODEL OF CHLOROPHYLL-A FLUORESCENCE SIGNALS IN MARINE ENVIRONMENTS, On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation, A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS, The estimation for Lévy processes in high frequency data, Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors, Where does the tail begin? An approach based on scoring rules, Lehmer's mean-of-order- p extreme value index estimation: a simulation study and applications, High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression, The MOP EVI-Estimator Revisited, Robust estimation of Pareto-type tail index through an exponential regression model, Estimation of the Pareto and related distributions – A reference-intrinsic approach, A class of location invariant estimators for heavy tailed distributions, Unnamed Item