Selecting the optimal sample fraction in univariate extreme value estimation

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

62F10: Point estimation

62F35: Robustness and adaptive procedures (parametric inference)

62G30: Order statistics; empirical distribution functions

Related Items

On optimising the estimation of high quantiles of a probability distribution, Abelian and Tauberian Theorems on the Bias of the Hill Estimator, Bootstrap confidence intervals for the pareto index, Estimating Extreme Quantiles of Weibull Tail Distributions, Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling, A practical method for analysing heavy tailed data, A robust prediction error criterion for pareto modelling of upper tails, ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL, MULTIVARIATE TAIL ESTIMATION WITH APPLICATION TO ANALYSIS OF COVAR, Premium Calculation for Fat-tailed Risk, Extreme behaviour for bivariate elliptical distributions, Using a bootstrap method to choose the sample fraction in tail index estimation, Discussion of ``Estimating the historical and future probabilities of large terrorist events by Aaron Clauset and Ryan Woodard, Discussion of ``Estimating the historical and future probabilities of large terrorist events by Aaron Clauset and Ryan Woodard, Discussion of ``Estimating the historical and future probabilities of large terrorist events by Aaron Clauset and Ryan Woodard, Discussion of ``Estimating the historical and future probabilities of large terrorist events by Aaron Clauset and Ryan Woodard, Discussion of ``Estimating the historical and future probabilities of large terrorist events by Aaron Clauset and Ryan Woodard, Adapting extreme value statistics to financial time series: dealing with bias and serial dependence, Testing for (in)finite moments, Threshold selection for extremes under a semiparametric model, The size distribution of innovations revisited: an application of extreme value statistics to citation and value measures of patent significance, Optimal rates of convergence in the Weibull model based on kernel-type estimators, Tail index estimation in the presence of long-memory dynamics, Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data, Asymptotically unbiased estimators for the extreme-value index, Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models, Nonparametric tests for constant tail dependence with an application to energy and finance, Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles, Estimating the conditional tail expectation in the case of heavy-tailed losses, Estimating L-functionals for heavy-tailed distributions and application, Semi-parametric estimation for heavy tailed distributions, 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, Nonparametric estimation for a class of Lévy processes, Estimation of the extreme-value index and generalized quantile plots, On the estimation of a changepoint in a tail index, Averages of Hill estimators, Tail index estimation, concentration and adaptivity, Tail inference: where does the tail begin?, Statistics of extremes by oracle estimation, Goodness-of-fit tests for a heavy tailed distribution, Reiss and Thomas' automatic selection of the number of extremes, Kernel estimators for the second order parameter in extreme value statistics, Estimating catastrophic quantile levels for heavy-tailed distributions, Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions, Bootstrap and empirical likelihood methods in extremes, Higher order estimation at Lebesgue points, Approximation of the Hill estimator process, Censoring estimators of a positive tail index, Kernel-type estimators for the extreme value index, Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models, How to make a Hill plot., Minimax risk bounds in extreme value theory, A class of asymptotically unbiased semi-parametric estimators of the tail index., Hill's estimator for the tail index of an ARMA model, Estimation of the third-order parameter in extreme value statistics, Estimating the probability of a rare event, An adaptive optimal estimate of the tail index for MA(1) time series, Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution, Subsampling extremes: from block maxima to smooth tail estimation, Local-maximum-based tail index estimator, Multiplier bootstrap of tail copulas with applications, Subsampling the distribution of diverging statistics with applications to finance, Estimating the historical and future probabilities of large terrorist events, Discussion of ``Estimating the historical and future probabilities of large terrorist events by Aaron Clauset and Ryan Woodard, Rejoinder of ``Estimating the historical and future probabilities of large terrorist events by Aaron Clauset and Ryan Woodard, Power-law distributions in binned empirical data, Approximations to the tail empirical distribution function with application to testing extreme value conditions, Estimating the tail-dependence coefficient: properties and pitfalls, A goodness-of-fit statistic for Pareto-type behaviour, On tail index estimation based on multivariate data, Estimation of the Ruin Probability in Infinite Time for Heavy Right-Tailed Losses, Statistical estimate of the proportional hazard premium of loss

Cites Work