Estimating tails of probability distributions
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(only showing first 100 items - show all)- Existence and consistency of the maximum likelihood estimator for the extreme value index
- Statistics of extremes under random censoring
- Estimation of the extreme value index and extreme quantiles under random censoring
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- 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 robust estimator for the tail index of Pareto-type distributions
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- A note on generalized Pareto distributions and the k upper extremes
- Estimating extreme probabilities using tail simulated data
- Bootstrap confidence intervals for tail indices.
- On a basis for peaks over threshold modeling
- Modeling large claims in non-life insurance
- A simple general approach to inference about the tail of a distribution
- Nonparametric tail estimation using a double bootstrap method.
- The extremal index of a higher-order stationary Markov chain
- A simple generalisation of the Hill estimator
- Semiparametric statistical inference in global random search
- On some estimates based on sample behavior near high level excursions
- On the estimation of extreme tail probabilities
- Parameter estimation for 2-parameter generalized Pareto distribution by POME
- A general class of estimators of the extreme value index
- Best attainable rates of convergence for estimators of the stable tail dependence function
- Graphical characterisation of probability distribution tails
- A predictive approach to tail probability estimation
- Generalized least-squares estimators for the thickness of heavy tails
- A note on the asymptotic normality of the ET method for extreme quantile estimation.
- A dynamical mixture model for unsupervised tail estimation without threshold selection
- Local polynomial maximum likelihood estimation for Pareto-type distributions.
- Kernel-type estimators for the extreme value index
- On a generalized Pickands estimator of the extreme value index
- Optimal asymptotic estimation of small exceedance probabilities
- On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
- Estimation of upper quantiles under model and parameter uncertainty.
- An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
- Risk contagion under regular variation and asymptotic tail independence
- Empirical likelihood confidence intervals for the endpoint of a distribution function
- Bivariate tail estimation: dependence in asymptotic independence
- Extreme value statistics for censored data with heavy tails under competing risks
- Optimal rates of convergence for estimates of the extreme value index
- Minimax risk bounds in extreme value theory
- Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
- On maximum likelihood estimation of the extreme value index.
- The mean residual life function at great age: Applications to tail estimation
- K-record values and the extreme-value index
- Estimation of the tail parameter in the domain of attraction of an extremal distribution
- The sample mid-range and symmetrized extremal laws
- LAN of extreme order statistics
- On testing the extreme value index via the POT-method
- Asymptotically efficient estimation of the index of regular variation
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- Estimating asymptotic dependence functionals in multivariate regularly varying models
- Estimating an endpoint with high-order moments
- Dual divergence estimators of the tail index
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Data fusion for uncertainty quantification with non-intrusive polynomial chaos
- On the estimation of the variability in the distribution tail
- Adapting the Hill estimator to distributed inference: dealing with the bias
- Estimation and inference about tail features with tail censored data
- Asymptotic analysis of portfolio diversification
- Asymptotic behavior of the extrapolation error associated with the estimation of extreme quantiles
- On the maximum likelihood estimation of extreme value index based on \(k\)-record values
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
- GFC-robust risk management under the Basel accord using extreme value methodologies
- Forecasting value-at-risk with a duration-based POT method
- Extreme market risk and extreme value theory
- The extent of the maximum likelihood estimator for the extreme value index
- A matching prior for extreme quantile estimation of the generalized Pareto distribution
- A nonparametric estimator for the conditional tail index of Pareto-type distributions
- Inferences on parametric estimation of distribution tails
- Ridge regression estimators for the extreme value index
- Econometric modeling of risk measures: a selective review of the recent literature
- On discrimination between classes of distribution tails
- Extreme value analysis of multivariate high-frequency wind speed data
- Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution
- Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework
- On tail trend detection: modeling relative risk
- On consistency of the likelihood moment estimators for a linear process with regularly varying innovations
- A general estimator for the right endpoint with an application to supercentenarian women's records
- Bias correction in extreme value statistics with index around zero
- Estimating extreme bivariate quantile regions
- Maximum likelihood estimation of extreme value index for irregular cases
- Bootstrapping endpoint
- Sparse representation of multivariate extremes with applications to anomaly detection
- Divergence based robust estimation of the tail index through an exponential regression model
- Empirical likelihood based confidence intervals for the tail index when \({\gamma}<-1/2\)
- Extreme-quantile tracking for financial time series
- Accounting for the threshold uncertainity in extreme value estimation
- On estimation of the exponent of regular variation using a sample with missing observations
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
- The contribution of the maximum to the sum of excesses for testing max-domains of attraction
- Weighted least squares estimation of the extreme value index
- Approximations to the tail empirical distribution function with application to testing extreme value conditions
- On univariate extreme value statistics and the estimation of reinsurance premiums
- A class of distribution functions with less bias in extreme value estimation
- Threshold selection for extremes under a semiparametric model
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
- On estimation of the scale and location parameters of distribution tails
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