Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
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Publication:2386151
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Cites work
- scientific article; zbMATH DE number 4012931 (Why is no real title available?)
- A bootstrap-based method to achieve optimality in estimating the extreme-value index
- A general class of estimators of the extreme value index
- A new class of semi-parametric estimators of the second order parameter.
- A simple general approach to inference about the tail of a distribution
- Bias reduction and explicit semi-parametric estimation of the tail index
- Comparison of tail index estimators
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Generalized least-squares estimators for the thickness of heavy tails
- IV.—On Least Squares and Linear Combination of Observations
- Kernel estimates of the tail index of a distribution
- Tail index estimation and an exponential regression model
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
- Using a bootstrap method to choose the sample fraction in tail index estimation
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
Cited in
(26)- 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
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- Improvements in the estimation of a heavy tail
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Improved reduced-bias tail index and quantile estimators
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- 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
- Asymptotically efficient estimation of the index of regular variation
- A review of more than one hundred Pareto-tail index estimators
- 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
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- On an improvement of Hill and some other estimators
- Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
- 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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