Heavy tail index estimation for block data

DOI10.1080/00949655.2025.2566415MaRDI QIDQ7234672zbMATH OpenFDO

Authors Zuoxiang Peng, Shuang Hu

Publication date 28 April 2026

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2025.2566415

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• A horse race between the block maxima method and the peak-over-threshold approach
• A location invariant Hill-type estimator
• A new class of semi-parametric estimators of the second order parameter.
• A new estimator for a tail index
• A simple general approach to inference about the tail of a distribution
• Asymptotic properties of generalized DPR statistic
• Comparison of tail index estimators
• Direct reduction of bias of the classical Hill estimator
• Distributed inference for the extreme value index
• Empirical Bayes inference for the block maxima method
• Extreme value theory. An introduction.
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• Heavy tail index estimation based on block order statistics
• How to make a Hill plot.
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Inference of high quantiles of a heavy-tailed distribution from block data
• Local-maximum-based tail index estimator
• Location invariant heavy tail index estimation with block method
• Maximum likelihood estimators based on the block maxima method
• More on \(P\)-stable convex sets in Banach spaces
• On the tail index of a heavy tailed distribution
• Optimal weighted pooling for inference about the tail index and extreme quantiles
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Permutation bootstrap and the block maxima method
• Reduced-bias location-invariant extreme value index estimation: a simulation study
• Several modifications of DPR estimator of the tail index
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses

This page was built for publication: Heavy tail index estimation for block data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7234672)