An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index

DOI10.1016/j.jmva.2013.06.011zbMath1328.62201OpenAlexW2017910535MaRDI QIDQ2350660

Yuri Goegebeur, Goedele Dierckx, Armelle Guillou

Publication date: 25 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.06.011

zbMATH Keywords

tail indexbias-correctiondensity power divergencePareto-type distribution

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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Robust and bias-corrected estimation of the probability of extreme failure sets ⋮ Robust nonparametric estimation of the conditional tail dependence coefficient ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Bias-corrected and robust estimation of the bivariate stable tail dependence function ⋮ Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions ⋮ Local robust estimation of Pareto-type tails with random right censoring ⋮ Robust and bias-corrected estimation of the coefficient of tail dependence ⋮ Local robust and asymptotically unbiased estimation of conditional Pareto-type tails ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ Robust conditional Weibull-type estimation ⋮ Robust estimation of Pareto-type tail index through an exponential regression model

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