Bias reduction for high quantiles

DOI10.1016/J.JSPI.2010.02.025MaRDI QIDQ974486zbMATH OpenOpenAlexFDO

Authors Deyuan Li, Liang Peng, Jingping Yang

Publication date 3 June 2010

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2010.02.025

zbMATH Keywords

bias reductiontail indexhigh quantilesecond order regular variation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 5492169 (Why is no real title available?)
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• A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
• A simple general approach to inference about the tail of a distribution
• Bias reduction and explicit semi-parametric estimation of the tail index
• Bias reduction in risk modelling: semi-parametric quantile estimation
• Bias reduction of a tail index estimator through an external estimation of the second-order parameter
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Estimating catastrophic quantile levels for heavy-tailed distributions
• Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Extreme value theory. An introduction.
• Heavy-Tail Phenomena
• Improved reduced-bias tail index and quantile estimators
• On exponential representations of log-spacings of extreme order statistics
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• On the estimation of high quantiles
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter

Cited in

(16)

• Does bias reduction with external estimator of second order parameter work for endpoint?
• On tail index estimation and financial risk management implications
• Linear quantile regression models for longitudinal experiments: an overview
• Tail product-limit process for truncated data with application to extreme value index estimation
• Improved reduced-bias tail index and quantile estimators
• ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
• Bias correction in extreme value statistics with index around zero
• Estimation of high conditional quantiles for heavy-tailed distributions
• scientific article; zbMATH DE number 6383001 (Why is no real title available?)
• Semi-parametric second-order reduced-bias high quantile estimation
• Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
• ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Bias reduced peaks over threshold tail estimation
• Approximation of high quantiles from intermediate quantiles
• Bias reduction for the ratio of means

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