Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions

DOI10.1016/J.SPL.2014.01.010MaRDI QIDQ2452882zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

robustnessbias correctionPareto-type distribution

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Statistics of extreme values; tail inference (62G32)

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Cites work

• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• A new class of semi-parametric estimators of the second order parameter.
• A robust estimator for the tail index of Pareto-type distributions
• A simple general approach to inference about the tail of a distribution
• An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Estimation of a tail index based on minimum density power divergence
• Extreme value theory. An introduction.
• Kernel estimators for the second order parameter in extreme value statistics
• Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
• Robust and efficient estimation by minimising a density power divergence
• Robust and efficient estimation for the generalized Pareto distribution
• Robust estimation of the generalized Pareto distribution
• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
• Statistics of Extremes

Cited in

(15)

• The harmonic moment tail index estimator: asymptotic distribution and robustness
• Robust estimator of conditional tail expectation of Pareto-type distribution
• Bayesian inference for extreme quantiles of heavy tailed distributions
• 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
• Estimation of extreme quantiles from heavy and light tailed distributions
• High quantiles of heavy-tailed distributions: Their estimation
• Improved estimation of extreme quantiles in the multivariate Lomax (Pareto II) distribution
• Robust estimation of Pareto-type tail index through an exponential regression model
• A log probability weighted moment estimator of extreme quantiles
• 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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