Ridge regression estimators for the extreme value index

DOI10.1007/s10687-018-0338-4zbMath1422.60085OpenAlexW2896670794WikidataQ129116434 ScholiaQ129116434MaRDI QIDQ2311597

Jan Beirlant, Sven Buitendag, Tertius de Wet

Publication date: 4 July 2019

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-018-0338-4

zbMATH Keywords

ridge regressionleast squares regressionHill estimatorextreme value indexgeneralized Hill estimator

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Extreme value theory; extremal stochastic processes (60G70)

Related Items

Nonparametric asymptotic confidence intervals for extreme quantiles, Unnamed Item, Threshold selection and trimming in extremes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation of the extreme-value index and generalized quantile plots
• A moment estimator for the index of an extreme-value distribution
• Estimating tails of probability distributions
• A simple general approach to inference about the tail of a distribution
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• On exponential representations of log-spacings of extreme order statistics
• Tail index estimation and an exponential regression model
• Estimating a tail exponent by modelling departure from a Pareto distribution
• A Diagnostic for Selecting the Threshold in Extreme Value Analysis
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Statistics of Extremes
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• The elements of statistical learning. Data mining, inference, and prediction