Estimation of a scale second-order parameter related to the PORT methodology

DOI10.1080/15598608.2014.969816MaRDI QIDQ2320971zbMATH OpenOpenAlexFDO

Authors Lígia Henriques-Rodrigues, M. Ivette Gomes, B. G. Manjunath

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/10.1080/15598608.2014.969816

zbMATH Keywords

semiparametric estimationstatistics of extremesPORT methodologypeaks over random thresholdslocation/scale invariant estimationscale second-order parameters

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 1667428 (Why is no real title available?)
• scientific article; zbMATH DE number 3903649 (Why is no real title available?)
• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• scientific article; zbMATH DE number 5204924 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• A new class of estimators of a ``scale second order parameter
• A new class of semi-parametric estimators of the second order parameter.
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• Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
• Adaptive estimates of parameters of regular variation
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• An overview and open research topics in statistics of univariate extremes
• Asymptotic Statistics
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Extreme value analysis in biometrics
• General regular variation of \(n\)-th order and 2nd order Edgeworth expansion of the extreme value distribution. I
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• High quantile estimation and the PORT methodology
• On estimating the endpoint of a distribution
• On maximum likelihood estimation of the extreme value index.
• PORT Hill and Moment Estimators for Heavy-Tailed Models
• PORT-estimation of a shape second-order parameter
• Peaks over random threshold methodology for tail index and high quantile estimation
• Semi-parametric estimation of the second order parameter in statistics of extremes
• Statistical inference using extreme order statistics
• Sur la distribution limite du terme maximum d'une série aléatoire
• Third order extended regular variation

Cited in

(7)

• PORT-estimation of a shape second-order parameter
• Peaks over random threshold methodology for tail index and high quantile estimation
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• A new class of estimators of a ``scale second order parameter
• Weighted moment estimators for the second order scale parameter
• Mean-of-order p reduced-bias extreme value index estimation under a third-order framework
• A note on the port methodology in the estimation of a shape second-order parameter

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