Estimation of the tail parameter in the domain of attraction of an extremal distribution

DOI10.1016/0378-3758(94)00068-9MaRDI QIDQ1890873zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

rate of convergencegeneralized extreme value distributionorder statisticsregularly varying tailextremal parameteroptimal number of top order statistics

Mathematics Subject Classification ID

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)

Recommendations

• scientific article; zbMATH DE number 3921736
• Estimation of the third-order parameter in extreme value statistics
• Inferences on parametric estimation of distribution tails
• ON THE USE OF THE EMPIRICAL DISTRIBUTION AND CHARACTERISTIC FUNCTION TO ESTIMATE PARAMETERS OF REGULAR VARIATION
• Tail estimates motivated by extreme value theory

Cites work

• scientific article; zbMATH DE number 3824949 (Why is no real title available?)
• scientific article; zbMATH DE number 3903649 (Why is no real title available?)
• scientific article; zbMATH DE number 503319 (Why is no real title available?)
• scientific article; zbMATH DE number 3335593 (Why is no real title available?)
• scientific article; zbMATH DE number 3063475 (Why is no real title available?)
• A simple general approach to inference about the tail of a distribution
• Asymptotic inference about a density function at an end of its range
• Best attainable rates of convergence for estimates of parameters of regular variation
• Estimating tails of probability distributions
• Kernel estimates of the tail index of a distribution
• Limit theorems for the ratio of the empirical distribution function to the true distribution function
• On a shape estimator of weiss
• On the estimation of the extreme-value index and large quantile estimation
• Optimal choice of sample fraction in extreme-value estimation
• Statistical inference using extreme order statistics

Cited in

(18)

• Tail analysis without parametric models: a worst-case perspective
• 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
• scientific article; zbMATH DE number 3921736 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 4174126 (Why is no real title available?)
• Inferences on parametric estimation of distribution tails
• Tail estimates motivated by extreme value theory

This page was built for publication: Estimation of the tail parameter in the domain of attraction of an extremal distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1890873)