Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions

DOI10.1007/s10687-007-0048-9zbMath1164.62014OpenAlexW2064529213MaRDI QIDQ1003317

Luísa Canto e Castro, Dinis Pestana, M. Ivette Gomes, M. Isabel Fraga Alves

Publication date: 28 February 2009

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-007-0048-9

zbMATH Keywords

maximum likelihoodHill estimatorpeaks over thresholdsample fraction selection

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Related Items (19)

A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators ⋮ New Reduced-bias Estimators of a Positive Extreme Value Index ⋮ A Log Probability Weighted Moment Estimator of Extreme Quantiles ⋮ A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators ⋮ Semi-parametric tail inference through probability-weighted moments ⋮ On an improvement of Hill and some other estimators ⋮ Asymptotic properties of generalized DPR statistic ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Adaptive estimation of heavy right tails: resampling-based methods in action ⋮ Multivariate extreme value analysis and its relevance in a metallographical application ⋮ Semi-parametric probability-weighted moments estimation revisited ⋮ A Note on the Port Methodology in the Estimation of a Shape Second-Order Parameter ⋮ A comparative study of the adaptive choice of thresholds in extreme hydrologic events ⋮ Local-maximum-based tail index estimator ⋮ Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling ⋮ On the estimation and application of max-stable processes ⋮ Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model ⋮ Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology ⋮ Revisiting the maximum likelihood estimation of a positive extreme value index

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