Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
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Publication:2452882
DOI10.1016/J.SPL.2014.01.010zbMATH Open1288.62077OpenAlexW2047907486MaRDI QIDQ2452882FDOQ2452882
Yuri Goegebeur, Armelle Guillou, Andréhette Verster
Publication date: 5 June 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2014.01.010
Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Statistics of extreme values; tail inference (62G32)
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Cited In (8)
- Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data
- ROBUST INFERENCE FOR THE MEAN IN THE PRESENCE OF SERIAL CORRELATION AND HEAVY-TAILED DISTRIBUTIONS
- Alternative way to characterize a \(q\)-Gaussian distribution by a robust heavy tail measurement
- Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
- Robust estimation of Pareto-type tail index through an exponential regression model
- A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A new extreme quantile estimator for heavy-tailed distributions
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