A semi-parametric estimator of a shape second-order parameter

DOI10.1007/978-3-319-05323-3_13MaRDI QIDQ5261871zbMATH OpenOpenAlexFDO

Authors Frederico Caeiro, M. Ivette Gomes

Publication date 8 July 2015

Published in New Advances in Statistical Modeling and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-05323-3_13

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Nonparametric estimation (62G05)

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• A simple generalisation of the Hill estimator
• A new class of semi-parametric estimators of the second order parameter.
• A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
• Revisiting the maximum likelihood estimation of a positive extreme value index
• A log probability weighted moment estimator of extreme quantiles
• A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
• Mean-of-order p reduced-bias extreme value index estimation under a third-order framework
• A note on the port methodology in the estimation of a shape second-order parameter
• Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
• PORT-estimation of a shape second-order parameter
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• Asymptotically unbiased estimation of the extreme value index under random censoring
• Estimation of generalized tail distortion risk measures with applications in reinsurance
• Threshold selection in univariate extreme value analysis

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