Censoring estimators of a positive tail index

DOI10.1016/J.SPL.2003.07.011zbMath1048.62052OpenAlexW1990770489MaRDI QIDQ1423070

Orlando Oliveira, M. Ivette Gomes

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.07.011

zbMATH Keywords

Semi-parametric estimationStatistical theory of extremes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (3)

Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring ⋮ Weak properties and robustness of t-Hill estimators ⋮ Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications

Cites Work

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• Adaptive estimates of parameters of regular variation
• Laws of large numbers for sums of extreme values
• A simple general approach to inference about the tail of a distribution
• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
• Selecting the optimal sample fraction in univariate extreme value estimation
• Approximation by penultimate extreme value distributions
• Comparison of tail index estimators
• Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology

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