A two-step estimator of the extreme value index

DOI10.1007/S10687-008-0058-2zbMATH Open1164.62019OpenAlexW2084892817MaRDI QIDQ1003330FDOQ1003330

Authors: Chen Zhou 

Publication date: 28 February 2009

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-008-0058-2

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zbMATH Keywords

maximum likelihood estimationadaptive estimationtail indexheavy tailed distributions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Cites Work

• Statistical inference using extreme order statistics
• Residual life time at great age
• Estimating tails of probability distributions
• A simple general approach to inference about the tail of a distribution
• On maximum likelihood estimation of the extreme value index.
• Sur la distribution limite du terme maximum d'une série aléatoire
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Comparison of tail index estimators
• A moment estimator for the index of an extreme-value distribution
• On Smooth Statistical Tail Functionals
• Title not available (Why is that?)
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution

Cited In (10)

• A moment estimator for the index of an extreme-value distribution
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• Double-thresholded estimator of extreme value index
• Tail estimation based on numbers of near \(m\)-extremes
• On maximum likelihood estimation of the extreme value index.
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• Title not available (Why is that?)
• An estimator for the extreme-value index
• Empirical likelihood based inference for conditional Pareto-type tail index
• Iterative estimation of the extreme value index

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