On automatic bias reduction for extreme expectile estimation

DOI10.1007/s11222-022-10118-xzbMath1495.62010OpenAlexW3116020324MaRDI QIDQ2172112

Gilles Stupfler, Stéphane Girard, Antoine Usseglio-Carleve

Publication date: 15 September 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-022-10118-x

zbMATH Keywords

bias reductionextrapolationheavy tailsextremesasymmetric least squaresexpectilessecond-order parameter

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles ⋮ Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model ⋮ Inference for extremal regression with dependent heavy-tailed data ⋮ Optimal weighted pooling for inference about the tail index and extreme quantiles

Uses Software

• CASdatasets
• RMetrics
• fGarch
• evt0
• ReIns

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