Estimating a tail exponent by modelling departure from a Pareto distribution

From MaRDI portal

Publication:1970488

Jump to:navigation, search

DOI10.1214/aos/1018031215zbMath0942.62059OpenAlexW1544520332MaRDI QIDQ1970488

Andrey Feuerverger, Hall, Peter

Publication date: 7 June 2000

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1018031215

zbMATH Keywords

order statistics bias reduction regular variation maximum likelihood extreme-value theory regression peaks-over-threshold log-spacings spacings Zipf's law

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items

A class of asymptotically unbiased semi-parametric estimators of the tail index., Bias reduction and explicit semi-parametric estimation of the tail index, Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution., Extreme quantile estimation for \(\beta\)-mixing time series and applications, A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators, Bayesian threshold selection for extremal models using measures of surprise, Robust and bias-corrected estimation of the probability of extreme failure sets, Estimation problems for distributions with heavy tails, Bias correction in extreme value statistics with index around zero, Estimation of the extreme-value index and generalized quantile plots, Asymptotically best linear unbiased tail estimators under a second-order regular variation condition, ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS, ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE, Semi-parametric estimation of the quintile share ratio index of inequality measure for heavy-tailed income distributions with index in the upper half of the unit interval, Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions, Bias reduction in risk modelling: semi-parametric quantile estimation, On robust tail index estimation, Robust nonparametric estimation of the conditional tail dependence coefficient, Estimation of the tail exponent of multivariate regular variation, Weighted moment estimators for the second order scale parameter, Semi-parametric second-order reduced-bias high quantile estimation, Extreme Value Theory and Statistics of Univariate Extremes: A Review, Multivariate Hill Estimators, Estimation of the third-order parameter in extreme value statistics, Unnamed Item, Bias-corrected and robust estimation of the bivariate stable tail dependence function, Extreme values statistics for Markov chains via the (pseudo-) regenerative method, Second order properties of distribution tails and estimation of tail exponents in random difference equations, Asymptotically unbiased estimation of the second order tail parameter, Bias-corrected estimation of stable tail dependence function, Improved estimators of tail index and extreme quantiles under dependence serials, Robust estimation of the conditional stable tail dependence function, Estimation of tail parameters with missing largest observations, Bias reduction for endpoint estimation, Adaptive estimation of heavy right tails: resampling-based methods in action, Estimating the conditional tail index by integrating a kernel conditional quantile estimator, Regenerative block-bootstrap confidence intervals for tail and extremal indexes, Generalized least-squares estimators for the thickness of heavy tails, Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions, Change point test for tail index for dependent data, An estimator of heavy tail index through the generalized jackknife methodology, Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model, Local polynomial maximum likelihood estimation for Pareto-type distributions., Regression with response distributions of Pareto-type, Local Estimation of the Second-Order Parameter in Extreme Value Statistics and Local Unbiased Estimation of the Tail Index, Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence, A review of more than one hundred Pareto-tail index estimators, Bias reduction of a tail index estimator through an external estimation of the second-order parameter, Estimation of a tail index based on minimum density power divergence, Bias-reduced extreme quantile estimators of Weibull tail-distributions, Subsampling extremes: from block maxima to smooth tail estimation, Improved reduced-bias tail index and quantile estimators, Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known, Parameter estimation for one-sided heavy-tailed distributions, Estimator of the Pareto Index Based on Nonparametric Test, A simple second-order reduced bias’ tail index estimator, Bias reduction for high quantiles, Kernel estimators for the second order parameter in extreme value statistics, Estimating catastrophic quantile levels for heavy-tailed distributions, Asymptotic behaviour of the probability-weighted moments and penultimate approximation, Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution, Reduced‐bias tail index estimation and the jackknife methodology, Weibull tail-distributions revisited: A new look at some tail estimators, On univariate extreme value statistics and the estimation of reinsurance premiums, Local robust estimation of Pareto-type tails with random right censoring, A practical method for analysing heavy tailed data, Parameter Estimation of Stable Distributions, How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events, Robust and bias-corrected estimation of the coefficient of tail dependence, Local robust and asymptotically unbiased estimation of conditional Pareto-type tails, Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions, Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions, A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator, A heuristic adaptive choice of the threshold for bias-corrected Hill estimators, OPTIMAL SEMIPARAMETRIC INFERENCE FOR THE TAIL INDEX BASED ON RATIOS OF THE LARGEST EXTREMES, A new estimation method for Weibull-type tails based on the mean excess function, Does bias reduction with external estimator of second order parameter work for endpoint?, Reduced-Bias Tail Index Estimators Under a Third-Order Framework, Bias-reduced estimators of the Weibull tail-coefficient, Second-order refined peaks-over-threshold modelling for heavy-tailed distributions, Ridge regression estimators for the extreme value index, Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology, Higher order estimation at Lebesgue points, On the estimation of the heavy-tail exponent in time series using the max-spectrum, Premium Calculation for Fat-tailed Risk, Revisiting the maximum likelihood estimation of a positive extreme value index, Bias-corrected estimation for conditional Pareto-type distributions with random right censoring, Effect of extrapolation on coverage accuracy of prediction intervals computed from Pareto-type data, Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms, Tail index varying coefficient model, On the tail index inference for heavy-tailed GARCH-type innovations

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:1970488&oldid=14420344"