Asymptotic expansions for the location invariant moment-type estimator

DOI10.1016/J.MATCOM.2009.12.002MaRDI QIDQ2270461zbMATH OpenOpenAlexFDO

Authors Miaomiao Liu, Zuoxiang Peng, Saralees Nadarajah

Publication date 18 March 2010

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2009.12.002

zbMATH Keywords

asymptotic normalityasymptotic expansionconsistencyextreme value index

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Statistics of extreme values; tail inference (62G32)

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Cites work

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• A location invariant Hill-type estimator
• A location invariant moment-type estimator. I.
• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
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• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• On the estimation of the extreme-value index and large quantile estimation
• Statistical inference using extreme order statistics

Cited in

(5)

• A location invariant moment-type estimator. I.
• A location invariant moment-type estimator. II.
• Mixed moment estimator and location invariant alternatives
• scientific article; zbMATH DE number 7071325 (Why is no real title available?)
• Heavy tail index estimation based on block order statistics

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