Estimation of tail parameters with missing largest observations

DOI10.1214/23-EJS2191MaRDI QIDQ6184928zbMATH OpenFDO

Authors J. Beirlant, Martin Bladt, Gao Maribe, Andréhette Verster

Publication date 5 January 2024

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-17/issue-2/Estimation-of-tail-parameters-with-missing-largest-observations/10.1214/23-EJS2191.full

zbMATH Keywords

extreme value indexhigh quantilesmissing observationsregularization

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A simple general approach to inference about the tail of a distribution
• A Test of Goodness of Fit
• Adaptive estimates of parameters of regular variation
• Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Extreme value analysis without the largest values: what can be done?
• Handling missing extremes in tail estimation
• Statistics of Extremes
• Tail index estimation and an exponential regression model
• Threshold selection and trimming in extremes

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