A Class of Semi-parametric Probability Weighted Moment Estimators

DOI10.1007/978-3-642-32419-2_15zbMath1407.62116OpenAlexW92753654MaRDI QIDQ4644980

Frederico Caeiro, M. Ivette Gomes

Publication date: 9 January 2019

Published in: Recent Developments in Modeling and Applications in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-32419-2_15

zbMATH Keywords

value-at-riskextreme value indexsemiparametric probability weighted moment estimator

Mathematics Subject Classification ID

Density estimation (62G07) Exact distribution theory in statistics (62E15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (1)

A Log Probability Weighted Moment Estimator of Extreme Quantiles

Cites Work

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• Semi-parametric tail inference through probability-weighted moments
• A simple general approach to inference about the tail of a distribution
• Bias correction in extreme value statistics with index around zero
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Comparison of tail index estimators
• Asymptotic behaviour of the probability-weighted moments and penultimate approximation

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