Weighted moment estimators for the second order scale parameter

DOI10.1007/S11009-011-9263-6MaRDI QIDQ1930614zbMATH OpenOpenAlexFDO

Authors Tertius de Wet, Yuri Goegebeur, Armelle Guillou

Publication date 11 January 2013

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-011-9263-6

zbMATH Keywords

extreme value statisticsweighted estimatorPareto-type modelsecond-order scale parameter

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Recommendations

• A new class of estimators of a ``scale second order parameter
• Estimation of a scale second-order parameter related to the PORT methodology
• Computational comparison for weighted moments estimators and BLUE of the scale parameter of a Pareto distribution with known shape parameter under type II multiply censored sample
• Computational comparison of the general weighted moments estimators of the scale parameter of a Pareto distribution with a known shape parameter with other estimators based on a multiply type II-censored sample
• Estimation of second order parameters using probability weighted moments

Cites work

• scientific article; zbMATH DE number 5492169 (Why is no real title available?)
• A Hill Type Estimator of the Weibull Tail-Coefficient
• A new class of estimators of a ``scale second order parameter
• A new class of semi-parametric estimators of the second order parameter.
• A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
• A simple general approach to inference about the tail of a distribution
• Adaptive estimates of parameters of regular variation
• Direct reduction of bias of the classical Hill estimator
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Estimation of the third-order parameter in extreme value statistics
• Extreme value theory. An introduction.
• Kernel estimators for the second order parameter in extreme value statistics
• Linking Pareto-tail kernel goodness-of-fit statistics with tail index at optimal threshold and second order estimation
• On Smooth Statistical Tail Functionals
• On the theory of order statistics
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Semi-parametric estimation for heavy tailed distributions
• Semi-parametric estimation of the second order parameter in statistics of extremes
• Sur la distribution limite du terme maximum d'une série aléatoire
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
• Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
• Tail index estimation and an exponential regression model
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter

Cited in

(5)

• Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
• Estimation of a scale second-order parameter related to the PORT methodology
• A new class of estimators of a ``scale second order parameter
• Goodness-of-fit tests for semiparametric and parametric hypotheses based on the probability weighted empirical characteristic function
• scientific article; zbMATH DE number 5942989 (Why is no real title available?)

This page was built for publication: Weighted moment estimators for the second order scale parameter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1930614)