Semi-parametric probability-weighted moments estimation revisited
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Publication:2445488
DOI10.1007/S11009-012-9295-6zbMATH Open1284.62297OpenAlexW2009564021MaRDI QIDQ2445488FDOQ2445488
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
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heavy tailssemi-parametric estimationvalue-at-riskhigh quantilesprobability of exceedance of high levels
Nonparametric estimation (62G05) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)
Cites Work
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- Title not available (Why is that?)
- Residual life time at great age
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Cited In (19)
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- 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
- Title not available (Why is that?)
- 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
- Weighted semiparameter model and its application
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