Nonparametric tail estimation using a double bootstrap method.

DOI10.1016/S0167-9473(98)00060-7MaRDI QIDQ1275535zbMATH OpenFDO

Authors Jef Caers, Jozef Van Dyck

Publication date 12 January 1999

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-9473(98)00060-7

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Statistics of extreme values; tail inference (62G32)

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Cites work

• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
• ACORN - A new method for generating sequences of uniformly distributed pseudo-random numbers
• Bootstrap confidence intervals for tail indices.
• Estimating tails of probability distributions
• Excess functions and estimation of the extreme-value index
• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• Kernel estimates of the tail index of a distribution
• Statistical inference using extreme order statistics
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems

Cited in

(11)

• Bootstrap and empirical likelihood methods in extremes
• Bootstrap confidence intervals for tail indices.
• On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
• Estimation of heavy-tailed probability density function with applications to Web data
• Estimation of central shapes of error distributions in linear regression problems
• Asymptotic and bootstrap inference for inequality and poverty measures
• Statistical inference in the presence of heavy tails
• Abelian and Tauberian Theorems on the Bias of the Hill Estimator
• Bootstrap confidence intervals for the pareto index
• Statistical learning theory for fitting multimodal distribution to rainfall data: an application
• A bootstrap-based method to achieve optimality in estimating the extreme-value index

Describes a project that uses

Uses Software

• bootstrap

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