Minimax risk bounds in extreme value theory
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Publication:1848862
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Cites work
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- A moment estimator for the index of an extreme-value distribution
- A simple general approach to inference about the tail of a distribution
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- BUSINESS INTERRUPTION INSURANCE, A RISKY BUSINESS: A STUDY ON SOME PARETIAN RISK PHENOMENA
- Best attainable rates of convergence for estimates of parameters of regular variation
- Estimating tails of probability distributions
- Extreme value statistics and wind storm losses: A case study
- Kernel estimates of the tail index of a distribution
- LAN of extreme order statistics
- Local asymptotic normality in extreme value index estimation
- Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
- On Nonparametric Estimation of the Value of a Linear Functional in Gaussian White Noise
- On fixed-length confidence intervals for a bounded normal mean
- On nonparametric confidence intervals
- On statistical information of extreme order statistics, local extreme value alternatives, and Poisson point processes
- Optimal fixed size confidence procedures for a restricted parameter space
- Renormalization and white noise approximation for nonparametric functional estimation problems
- Selecting the optimal sample fraction in univariate extreme value estimation
- Statistical estimation and optimal recovery
- Statistical inference using extreme order statistics
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Cited in
(16)- Estimating tail decay for stationary sequences via extreme values
- Minimax risk over hyperrectangles, and implications
- Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models
- Varying confidence levels for CVaR risk measures and minimax limits
- Lower bounds to the accuracy of inference on heavy tails
- Weighted empirical processes in the nonparametric inference for Lévy processes
- Asymptotic equivalence of nonparametric autoregression and nonparametric regression
- Maximum variation of total risk
- Tail index estimation, concentration and adaptivity
- On fixed-length confidence intervals for a bounded normal mean
- Semiparametric lower bounds for tail index estimation
- Estimation and inference about tail features with tail censored data
- On posterior consistency of tail index for Bayesian kernel mixture models
- Asymptotic statistical equivalence for scalar ergodic diffusions
- On uniform confidence intervals for the tail index and the extreme quantile
- scientific article; zbMATH DE number 4078483 (Why is no real title available?)
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