A class of asymptotically unbiased semi-parametric estimators of the tail index.

DOI10.1007/BF02595711zbMath1039.62041MaRDI QIDQ1872866

M. Ivette Gomes, Frederico Caeiro

Publication date: 18 May 2003

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

robustnesssimulationsextremesfinite sample behaviorStudent models

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (18)

Bias correction in extreme value statistics with index around zero ⋮ Bias reduction in risk modelling: semi-parametric quantile estimation ⋮ Asymptotic properties of generalized DPR statistic ⋮ Comparison of the several parameterized estimators for the positive extreme value index ⋮ Estimating the conditional tail index by integrating a kernel conditional quantile estimator ⋮ A class of unbiased location invariant Hill-type estimators for heavy tailed distributions ⋮ Asymptotic normality of location invariant heavy tail index estimator ⋮ An estimator of heavy tail index through the generalized jackknife methodology ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Bias reduction of a tail index estimator through an external estimation of the second-order parameter ⋮ A moving window approach for nonparametric estimation of the conditional tail index ⋮ A simple second-order reduced bias’ tail index estimator ⋮ Reduced‐bias tail index estimation and the jackknife methodology ⋮ Weibull tail-distributions revisited: A new look at some tail estimators ⋮ How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events ⋮ The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements ⋮ Reduced-Bias Tail Index Estimators Under a Third-Order Framework ⋮ Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses

Cites Work

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• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
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• Selecting the optimal sample fraction in univariate extreme value estimation
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Approximation by penultimate extreme value distributions
• Sur la distribution limite du terme maximum d'une série aléatoire
• Comparison of tail index estimators
• Robust Statistics
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology

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