Asymptotically best linear unbiased tail estimators under a second-order regular variation condition

DOI10.1016/J.JSPI.2004.04.013zbMATH Open1066.62053OpenAlexW1995560111MaRDI QIDQ2386151FDOQ2386151

Authors: M. Ivette Gomes, Fernanda Figueiredo, Sandra Mendonça 

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

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zbMATH Keywords

Statistics of extremesBLUE estimationSemi-parametric tail estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)

Cites Work

• Generalized least-squares estimators for the thickness of heavy tails
• A simple general approach to inference about the tail of a distribution
• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
• ``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
• Title not available (Why is that?)
• Comparison of tail index estimators
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Kernel estimates of the tail index of a distribution
• Estimating a tail exponent by modelling departure from a Pareto distribution
• IV.—On Least Squares and Linear Combination of Observations
• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• A general class of estimators of the extreme value index
• Bias reduction and explicit semi-parametric estimation of the tail index

Cited In (25)

• A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
• Statistical estimate of the proportional hazard premium of loss
• Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known
• Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• Improvements in the estimation of a heavy tail
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
• Improved reduced-bias tail index and quantile estimators
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Estimating L-functionals for heavy-tailed distributions and application
• Semi-parametric tail inference through probability-weighted moments
• A review of more than one hundred Pareto-tail index estimators
• Asymptotically efficient estimation of the index of regular variation
• 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
• Reduced‐bias tail index estimation and the jackknife methodology
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
• A unification of tail estimators
• Asymptotic behavior of the variance of the best linear unbiased estimator for the mean of a discrete-time singular stationary process
• Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
• Estimating the conditional tail expectation in the case of heavy-tailed losses
• Reduced-bias location-invariant extreme value index estimation: a simulation study
• Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
• Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
• Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution

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