Estimation of a scale second-order parameter related to the PORT methodology
DOI10.1080/15598608.2014.969816zbMATH Open1423.62041OpenAlexW2057922141MaRDI QIDQ2320971FDOQ2320971
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
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semiparametric estimationstatistics of extremesPORT methodologypeaks over random thresholdslocation/scale invariant estimationscale second-order parameters
Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)
Cites Work
- Statistical inference using extreme order statistics
- Asymptotic Statistics
- Adaptive estimates of parameters of regular variation
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- Semi-parametric estimation of the second order parameter in statistics of extremes
- A new class of semi-parametric estimators of the second order parameter.
- On maximum likelihood estimation of the extreme value index.
- A new class of estimators of a ``scale second order parameter
- Sur la distribution limite du terme maximum d'une série aléatoire
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- An overview and open research topics in statistics of univariate extremes
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- Peaks over random threshold methodology for tail index and high quantile estimation
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- A moment estimator for the index of an extreme-value distribution
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- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- PORT-estimation of a shape second-order parameter
- On estimating the endpoint of a distribution
- Adaptive estimation of heavy right tails: resampling-based methods in action
- General regular variation of \(n\)-th order and 2nd order Edgeworth expansion of the extreme value distribution. I
- Third order extended regular variation
- High quantile estimation and the PORT methodology
- Adaptive PORT-MVRB estimation of the extreme value index
- Extreme value analysis in biometrics
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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