Revisiting the maximum likelihood estimation of a positive extreme value index

DOI10.1080/15598608.2014.909754zbMATH Open1425.62056OpenAlexW1981927335MaRDI QIDQ2320945FDOQ2320945

Authors: Frederico Caeiro, M. Ivette Gomes 

Publication date: 28 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2014.909754

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• Comparison of the several parameterized estimators for the positive extreme value index
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• On the maximum likelihood estimation of extreme value index based on \(k\)-record values
• On the maximum likelihood estimator for the generalized extreme-value distribution

zbMATH Keywords

heavy tailssemiparametric estimationbias estimationstatistics of extremes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Statistics of extreme values; tail inference (62G32)

Cites Work

• Statistics of Extremes
• 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
• Semi-parametric estimation of the second order parameter in statistics of extremes
• A new class of semi-parametric estimators of the second order parameter.
• Tail index estimation and an exponential regression model
• A new class of estimators of a ``scale second order parameter
• An overview and open research topics in statistics of univariate extremes
• Direct reduction of bias of the classical Hill estimator
• Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
• Title not available (Why is that?)
• Title not available (Why is that?)
• Comparison of tail index estimators
• A semi-parametric estimator of a shape second-order parameter
• Linking Pareto-tail kernel goodness-of-fit statistics with tail index at optimal threshold and second order estimation
• Improving second order reduced bias extreme value index estimation
• Semi-parametric estimation for heavy tailed distributions
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Title not available (Why is that?)
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• On the estimation of the second order parameter for heavy-tailed distributions
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions

Cited In (13)

• Selecting the optimal sample fraction in univariate extreme value estimation
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• New Reduced-bias Estimators of a Positive Extreme Value Index
• Maximum likelihood estimators based on the block maxima method
• Penalized quasi-maximum likelihood estimation for extreme value models with application to flood frequency analysis
• The extent of the maximum likelihood estimator for the extreme value index
• Maximum likelihood revisited under a semi-parametric context - estimation of the tail index
• Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
• Estimation of the bias of the maximum likelihood estimators in an extreme value context
• Extreme value index estimator using maximum likelihood and moment estimation
• From extended regular variation to regular variation with application in extreme value statis\-tics
• Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework
• Maximum likelihood estimation of extreme value index for irregular cases

Uses Software

• R

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