Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
From MaRDI portal
Publication:2386151
DOI10.1016/j.jspi.2004.04.013zbMath1066.62053OpenAlexW1995560111MaRDI QIDQ2386151
Fernanda Figueiredo, Sandra Mendonça, M. Ivette Gomes
Publication date: 22 August 2005
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2004.04.013
Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)
Related Items (18)
Semi-parametric estimation of the quintile share ratio index of inequality measure for heavy-tailed income distributions with index in the upper half of the unit interval ⋮ Semi-parametric tail inference through probability-weighted moments ⋮ Estimating the conditional tail expectation in the case of heavy-tailed losses ⋮ Estimating L-functionals for heavy-tailed distributions and application ⋮ Statistical estimate of the proportional hazard premium of loss ⋮ Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses ⋮ Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts ⋮ Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Improved reduced-bias tail index and quantile estimators ⋮ Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known ⋮ Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling ⋮ Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution ⋮ Reduced‐bias tail index estimation and the jackknife methodology ⋮ Reduced-Bias Tail Index Estimators Under a Third-Order Framework ⋮ Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses ⋮ Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model ⋮ Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
Cites Work
- Unnamed Item
- Kernel estimates of the tail index of a distribution
- A simple general approach to inference about the tail of a distribution
- A general class of estimators of the extreme value index
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
- Generalized least-squares estimators for the thickness of heavy tails
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- A new class of semi-parametric estimators of the second order parameter.
- Tail index estimation and an exponential regression model
- Bias reduction and explicit semi-parametric estimation of the tail index
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Comparison of tail index estimators
- IV.—On Least Squares and Linear Combination of Observations
- Using a bootstrap method to choose the sample fraction in tail index estimation
- A bootstrap-based method to achieve optimality in estimating the extreme-value index
This page was built for publication: Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
