Semi-parametric probability-weighted moments estimation revisited

DOI10.1007/S11009-012-9295-6MaRDI QIDQ2445488zbMATH OpenOpenAlexFDO

Authors Frederico Caeiro, M. Ivette Gomes, B. Vandewalle

Publication date 14 April 2014

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10362/118351

zbMATH Keywords

heavy tailssemi-parametric estimationvalue-at-riskhigh quantilesprobability of exceedance of high levels

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

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Cited in

(21)

• A location-invariant probability weighted moment estimation of the Extreme Value Index
• When Heavy Tails Disrupt Statistical Inference
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• Semiparametric estimation of moment condition models with weakly dependent data
• On univariate extreme value statistics and the estimation of reinsurance premiums
• EVT-based estimation of risk capital and convergence of high quantiles
• Competitive estimation of the extreme value index
• Goodness-of-fit tests for semiparametric and parametric hypotheses based on the probability weighted empirical characteristic function
• Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
• Semi-parametric tail inference through probability-weighted moments
• Nonparametric probability weighted empirical characteristic function and applications
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• scientific article; zbMATH DE number 18859 (Why is no real title available?)
• A new look at probability-weighted moments estimators
• A class of semi-parametric probability weighted moment estimators
• A log probability weighted moment estimator of extreme quantiles
• ON DERIVATION OF THE SEMI-PARAMETRIC WEIGHTED LIKELIHOOD ESTIMATOR, SPW, AND THE WEIGHTED CONDITIONAL PSEUDO LIKELIHOOD ESTIMATOR, WCPE
• A second-order test to detect spatio-temporal anisotropic effects in point patterns
• Semi-parametric estimation for heavy tailed distributions
• Tail inference with probability weighted moments
• Weighted semiparameter model and its application

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