Reduced‐bias tail index estimation and the jackknife methodology
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Publication:3592389
DOI10.1111/j.1467-9574.2007.00346.xzbMath1121.62054MaRDI QIDQ3592389
M. Ivette Gomes, M. Cristina Miranda, Clara Viseu
Publication date: 13 September 2007
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9574.2007.00346.x
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G32: Statistics of extreme values; tail inference
62G09: Nonparametric statistical resampling methods
Related Items
Local Estimation of the Second-Order Parameter in Extreme Value Statistics and Local Unbiased Estimation of the Tail Index, Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence, Multivariate Hill Estimators, A review of more than one hundred Pareto-tail index estimators, A simple generalisation of the Hill estimator, Semi-parametric tail inference through probability-weighted moments, Semi-parametric estimation for heavy tailed distributions, Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold, Subsampling techniques and the jackknife methodology in the estimation of the extremal index, Bias correction in extreme value statistics with index around zero, Asymptotic comparison of the mixed moment and classical extreme value index estimators, Reduced-Bias Tail Index Estimators Under a Third-Order Framework
Cites Work
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