Estimation of the tail parameter in the domain of attraction of an extremal distribution
DOI10.1016/0378-3758(94)00068-9zbMATH Open0820.62032OpenAlexW2162064844WikidataQ127230427 ScholiaQ127230427MaRDI QIDQ1890873FDOQ1890873
Authors: M. Isabel Fraga Alves 
Publication date: 5 July 1995
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0378-3758(94)00068-9
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rate of convergencegeneralized extreme value distributionorder statisticsregularly varying tailextremal parameteroptimal number of top order statistics
Point estimation (62F10) Nonparametric estimation (62G05) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Rate of growth of functions, orders of infinity, slowly varying functions (26A12)
Cites Work
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Cited In (18)
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Simple tail index estimation for dependent and heterogeneous data with missing values
- Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
- Estimating an endpoint with high order moments in the Weibull domain of attraction
- Generalized Pickands estimators for the extreme value index
- Generalized Pickands' estimators for the tail index parameter and max-semistability
- A tail bootstrap procedure for estimating the tail Pareto-index
- On a generalized Pickands estimator of the extreme value index
- Title not available (Why is that?)
- ON THE USE OF THE EMPIRICAL DISTRIBUTION AND CHARACTERISTIC FUNCTION TO ESTIMATE PARAMETERS OF REGULAR VARIATION
- Estimation of the third-order parameter in extreme value statistics
- A review of more than one hundred Pareto-tail index estimators
- Weiss-Hill estimator
- Estimating tail decay for stationary sequences via extreme values
- Title not available (Why is that?)
- Inferences on parametric estimation of distribution tails
- Tail estimates motivated by extreme value theory
- Tail analysis without parametric models: a worst-case perspective
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