Second-order refined peaks-over-threshold modelling for heavy-tailed distributions

DOI10.1016/J.JSPI.2009.01.006zbMath1162.62044arXiv0901.1518OpenAlexW1990340489MaRDI QIDQ1022014

Johan Segers, Jan Beirlant, Elisabeth Joossens

Publication date: 9 June 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.1518

zbMATH Keywords

tail probabilitybias reductionregular variationheavy tailsHill estimatorextreme value indextail empirical processextended Pareto distributionWeissman probability estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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Uses Software

• ismev

Cites Work

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