Comparison of tail index estimators
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- scientific article; zbMATH DE number 1301726
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Cited in
(only showing first 100 items - show all)- 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
- A two-step estimator of the extreme value index
- Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
- A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
- A simple generalisation of the Hill estimator
- Some results on estimation of the tail index of a distribution
- Censoring estimators of a positive tail index
- Comparison of estimators in stable models.
- Comparison between two indicators for the variation regularity of tails of distributions
- An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- An estimator of heavy tail index through the generalized jackknife methodology
- Performance of global random search algorithms for large dimensions
- Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
- A class of asymptotically unbiased semi-parametric estimators of the tail index.
- Hill's estimator for the tail index of an ARMA model
- Bias reduction and explicit semi-parametric estimation of the tail index
- Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution.
- On robust tail index estimation
- Estimation of central shapes of error distributions in linear regression problems
- Weak limits for exploratory plots in the analysis of extremes
- Regenerative block-bootstrap confidence intervals for tail and extremal indexes
- An adaptive optimal estimate of the tail index for MA(1) time series
- The coupling method in extreme value theory
- Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
- A class of semiparametric tail index estimators and its applications
- Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
- Priority statement and some properties of t-lgHill estimator
- Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model
- Limit laws for the norms of extremal samples
- Local-maximum-based tail index estimator
- Inferences on parametric estimation of distribution tails
- Revisiting the maximum likelihood estimation of a positive extreme value index
- A Beran-inspired estimator for the Weibull-type tail coefficient
- Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution
- Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
- Semi-parametric probability-weighted moments estimation revisited
- Random weighting estimation of stable exponent
- Tail approximations to the density function in EVT
- Improved reduced-bias tail index and quantile estimators
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- Weighted least squares estimation of the extreme value index
- Semiparametric lower bounds for tail index estimation
- Weighted least-squares estimators of tail indices
- Tail index estimation based on survey data
- A test for comparing tail indices for heavy-tailed distributions via empirical likelihood
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- On tail index estimation based on multivariate data
- On robust tail index estimation for linear long-memory processes
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- Comparison at optimal levels of classical tail index estimators: a challenge for reduced-bias estimation?
- Competitive estimation of the extreme value index
- New Reduced-bias Estimators of a Positive Extreme Value Index
- A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL 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
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- Reduced‐bias tail index estimation and the jackknife methodology
- Minimum-Distance Estimator for Stable Exponent
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- scientific article; zbMATH DE number 3921736 (Why is no real title available?)
- On the Optimality of Estimating the Tail Index and a Naive Estimator
- On an improvement of Hill and some other estimators
- Several modifications of DPR estimator of the tail index
- Asymptotic properties of generalized DPR statistic
- scientific article; zbMATH DE number 1301726 (Why is no real title available?)
- Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
- scientific article; zbMATH DE number 1057893 (Why is no real title available?)
- Tail index estimation based on linear combinations of intermediate order statistics
- scientific article; zbMATH DE number 1959493 (Why is no real title available?)
- How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events
- Asymptotically unbiased estimators for the extreme-value index
- Confidence regions for high quantiles of a heavy tailed distribution
- A class of semi-parametric probability weighted moment estimators
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- Regression estimators for the tail index
- Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
- Heavy tail index estimation based on block order statistics
- On the comparison of several classical estimators of the extreme value index
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Comparison of the several parameterized estimators for the positive extreme value index
- A practical method for analysing heavy tailed data
- A class of new tail index estimators
- The MOP EVI-estimator revisited
- A bootstrap method to test for the existence of finite moments
- Change point tests for the tail index of -mixing random variables
- On comparison of the tail index of heavy tail distributions using Pitman's measure of closeness
- A simple second-order reduced bias’ tail index estimator
- A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Residual estimators
- Multivariate Hill Estimators
- Semi-parametric tail inference through probability-weighted moments
- A review of more than one hundred Pareto-tail index estimators
- A refined Weissman estimator for extreme quantiles
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