Nonparametric tail estimation using a double bootstrap method.
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Cites work
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- 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
- 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
(10)- Bootstrap confidence intervals for the pareto index
- Estimation of heavy-tailed probability density function with applications to Web data
- On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
- Asymptotic and bootstrap inference for inequality and poverty measures
- A bootstrap-based method to achieve optimality in estimating the extreme-value index
- Statistical learning theory for fitting multimodal distribution to rainfall data: an application
- Statistical inference in the presence of heavy tails
- Abelian and Tauberian Theorems on the Bias of the Hill Estimator
- Estimation of central shapes of error distributions in linear regression problems
- Bootstrap and empirical likelihood methods in extremes
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