A practical method for analysing heavy tailed data

DOI10.1002/CJS.10018MaRDI QIDQ5192949zbMATH OpenOpenAlexFDO

Authors Liang Peng

Publication date 10 August 2009

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.10018

zbMATH Keywords

heavy tailhigh quantile estimationtail indexthreshold

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

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Cites work

• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• A diagnostic for selecting the threshold in extreme value analysis
• A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
• A simple general approach to inference about the tail of a distribution
• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• Adaptive estimates of parameters of regular variation
• Asymptotically unbiased estimators for the extreme-value index
• Comparison of tail index estimators
• Confidence intervals for the tail index
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Estimation of quantiles of the maximum of N observations
• Extreme Values in Finance, Telecommunications, and the Environment
• Heavy-Tail Phenomena
• scientific article; zbMATH DE number 1026035 (Why is no real title available?)
• scientific article; zbMATH DE number 1513110 (Why is no real title available?)
• On bootstrap sample size in extreme value theory
• On optimising the estimation of high quantiles of a probability distribution
• On the estimation of high quantiles
• Refined pickands estimators wtth bias correction
• Selecting the optimal sample fraction in univariate extreme value estimation
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems

Cited in

(3)

• Threshold selection for multivariate heavy-tailed data
• On a minimum distance procedure for threshold selection in tail analysis
• Robust Inference for Nonstationary Time Series with Possibly Multiple Changing Periodic Structures

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