A new class of estimators of a ``scale second order parameter

DOI10.1007/s10687-006-0026-7zbMath1164.62350OpenAlexW2089701855MaRDI QIDQ2463675

Frederico Caeiro, M. Ivette Gomes

Publication date: 16 December 2007

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-006-0026-7

zbMATH Keywords

asymptotic normalityheavy tailstail indextail moments

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (25)

A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators ⋮ New Reduced-bias Estimators of a Positive Extreme Value Index ⋮ Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework ⋮ Nonparametric regression estimation of conditional tails: the random covariate case ⋮ Weighted moment estimators for the second order scale parameter ⋮ Semi-parametric second-order reduced-bias high quantile estimation ⋮ Estimation of the third-order parameter in extreme value statistics ⋮ Adaptive estimation of heavy right tails: resampling-based methods in action ⋮ A Note on the Port Methodology in the Estimation of a Shape Second-Order Parameter ⋮ Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Improved reduced-bias tail index and quantile estimators ⋮ Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling ⋮ Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses ⋮ A simple generalisation of the Hill estimator ⋮ Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions ⋮ Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold ⋮ A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator ⋮ Reduced-Bias Tail Index Estimators Under a Third-Order Framework ⋮ Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model ⋮ Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology ⋮ Revisiting the maximum likelihood estimation of a positive extreme value index ⋮ Estimation of a scale second-order parameter related to the PORT methodology ⋮ Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms ⋮ A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation

Cites Work

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• A new class of semi-parametric estimators of the second order parameter.
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
• Corrections
• A simple second-order reduced bias’ tail index estimator
• A bootstrap-based method to achieve optimality in estimating the extreme-value index

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