Competitive estimation of the extreme value index
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Recommendations
- Mean-of-order-p location-invariant extreme value index estimation
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- The MOP EVI-estimator revisited
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
Cites work
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- A simple general approach to inference about the tail of a distribution
- A simple generalisation of the Hill estimator
- Adaptive estimates of parameters of regular variation
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- An overview and open research topics in statistics of univariate extremes
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- Comparison at optimal levels of classical tail index estimators: a challenge for reduced-bias estimation?
- Comparison of tail index estimators
- Direct reduction of bias of the classical Hill estimator
- Efficiency of partially reduced-bias mean-of-order-\(p\) versus minimum-variance reduced-bias extreme value index estimation
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- Improving second order reduced bias extreme value index estimation
- Mean-of-order-p location-invariant extreme value index estimation
- Mixed moment estimator and location invariant alternatives
- Optimal choice of sample fraction in extreme-value estimation
- Peaks over random threshold methodology for tail index and high quantile estimation
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Regularly varying functions
- Resampling methodologies and reliable tail estimation
- Semi-parametric probability-weighted moments estimation revisited
- Semi-parametric tail inference through probability-weighted moments
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- Threshold selection in extreme value analysis
Cited in
(11)- Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Adaptive PORT-MVRB estimation of the extreme value index
- A location-invariant non-positive moment-type estimator of the extreme value index
- Competitive Statistical Estimation With Strategic Data Sources
- The MOP EVI-estimator revisited
- Mean-of-order-p location-invariant extreme value index estimation
- Lehmer's mean-of-order-p extreme value index estimation: a simulation study and applications
- A review of more than one hundred Pareto-tail index estimators
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Iterative estimation of the extreme value index
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