A bootstrap-based method to achieve optimality in estimating the extreme-value index
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Cited in
(62)- Statistics of extremes under random censoring
- Estimation of the extreme value index and extreme quantiles under random censoring
- 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
- Nonparametric tail estimation using a double bootstrap method.
- Smoothing the moment estimator of the extreme value parameter
- Optimal choice of sample fraction in extreme-value estimation
- Kernel-type estimators for the extreme value index
- Optimal asymptotic estimation of small exceedance probabilities
- An improved method for forecasting spare parts demand using extreme value theory
- Empirical likelihood confidence intervals for the endpoint of a distribution function
- How to make a Hill plot.
- On maximum likelihood estimation of the extreme value index.
- A comparative study of the adaptive choice of thresholds in extreme hydrologic events
- Threshold selection and trimming in extremes
- A horse race between the block maxima method and the peak-over-threshold approach
- Choice of smoothing parameter in multivariate copula-based tail coefficients
- Tail asymptotics of generalized deflated risks with insurance applications
- Semi-parametric approach to the Hasofer-Wang and Greenwood statistics in extremes
- Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
- Maximum likelihood estimation of extreme value index for irregular cases
- Haezendonck-Goovaerts risk measure with a heavy tailed loss
- Subsampling the distribution of diverging statistics with applications to finance
- Semi-parametric probability-weighted moments estimation revisited
- A new class of estimators of a ``scale second order parameter
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- The contribution of the maximum to the sum of excesses for testing max-domains of attraction
- Second-order tail asymptotics of deflated risks
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- Estimation of the bias of the maximum likelihood estimators in an extreme value context
- Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
- Kernel regression with Weibull-type tails
- Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach
- scientific article; zbMATH DE number 1984189 (Why is no real title available?)
- On optimising the estimation of high quantiles of a probability distribution
- Abelian and Tauberian Theorems on the Bias of the Hill Estimator
- Asymptotically unbiased estimators for the extreme-value index
- Bias reduction of a tail index estimator through an external estimation of the second-order parameter
- Tail asymptotic expansions for \(L\)-statistics
- On the estimation of extreme directional multivariate quantiles
- A location-invariant non-positive moment-type estimator of the extreme value index
- Lehmer's mean-of-order-p extreme value index estimation: a simulation study and applications
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Weiss-Hill estimator
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Tail dependence functions of two classes of bivariate skew distributions
- Mixed moment estimator and location invariant alternatives
- Semi-parametric estimation for heavy tailed distributions
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- A multivariate limit theorem for generalized Hill statistics
- Asymptotic behavior of bootstrapped extreme order statistics under unknown power normalizing constants
- Weibull tail-distributions revisited: A new look at some tail estimators
- Title not available (Why is no real title available?)
- Asymptotic distribution of certain statistics relevant to the fitting of max-semistable models
- 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
- Location invariant Weiss-Hill estimator
- Adaptive estimation of heavy right tails: resampling-based methods in action
- Reiss and Thomas' automatic selection of the number of extremes
- Kernel estimators for the second order parameter in extreme value statistics
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