Asymptotically unbiased estimation of the second order tail parameter

DOI10.1016/J.SPL.2011.11.016MaRDI QIDQ419178zbMATHOpenAlexFDO

Authors Tertius de Wet, Maria Reimert Munch, Yuri Goegebeur

Publication date 18 May 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.11.016

zbMATH Keywords

bias correctionPareto-type distributionthird order condition

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

Recommendations

• scientific article; zbMATH DE number 6719661
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
• On kernel estimation of the second order rate parameter in multivariate extreme value statistics
• Asymptotically unbiased estimators for the extreme-value index

Cites work

• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• scientific article; zbMATH DE number 1026035 (Why is no real title available?)
• A new class of semi-parametric estimators of the second order parameter.
• A simple general approach to inference about the tail of a distribution
• Asymptotic Distribution of Linear Combinations of Functions of Order Statistics with Applications to Estimation
• Asymptotic Statistics
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Estimation of the third-order parameter in extreme value statistics
• Extreme value theory. An introduction.
• Kernel estimators for the second order parameter in extreme value statistics
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Semi-parametric estimation for heavy tailed distributions
• Statistics of Extremes
• Sur la distribution limite du terme maximum d'une série aléatoire
• Tail index estimation and an exponential regression model

Cited in

(18)

• A bias-reduced estimator for the mean of a heavy-tailed distribution with an infinite second moment
• Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
• The second-order bias of quantile estimators
• Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
• Estimation of the third-order parameter in extreme value statistics
• Modeling of censored bivariate extremal events
• A test for comparing tail indices for heavy-tailed distributions via empirical likelihood
• Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• Estimation of the second order parameter characterizing the tail behavior of probability distributions: asymptotic normality
• Bias reduction of a tail index estimator through an external estimation of the second-order parameter
• A new class of semi-parametric estimators of the second order parameter.
• Kernel estimators for the second order parameter in extreme value statistics
• A refined Weissman estimator for extreme quantiles
• scientific article; zbMATH DE number 6719661 (Why is no real title available?)
• A simple second-order reduced bias’ tail index estimator
• Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
• On kernel estimation of the second order rate parameter in multivariate extreme value statistics

This page was built for publication: Asymptotically unbiased estimation of the second order tail parameter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q419178)