A new class of estimators of a ``scale second order parameter

From MaRDI portal
Publication:2463675

DOI10.1007/s10687-006-0026-7zbMath1164.62350OpenAlexW2089701855MaRDI QIDQ2463675

Frederico Caeiro, M. Ivette Gomes

Publication date: 16 December 2007

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-006-0026-7




Related Items

A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimatorsNew Reduced-bias Estimators of a Positive Extreme Value IndexMean-of-order \(p\) reduced-bias extreme value index estimation under a third-order frameworkNonparametric regression estimation of conditional tails: the random covariate caseWeighted moment estimators for the second order scale parameterSemi-parametric second-order reduced-bias high quantile estimationEstimation of the third-order parameter in extreme value statisticsAdaptive estimation of heavy right tails: resampling-based methods in actionA Note on the Port Methodology in the Estimation of a Shape Second-Order ParameterReduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation StudyA review of more than one hundred Pareto-tail index estimatorsImproved reduced-bias tail index and quantile estimatorsGeneralized Jackknife-Based Estimators for Univariate Extreme-Value ModelingTail index and second-order parameters’ semi-parametric estimation based on the log-excessesA simple generalisation of the Hill estimatorStatistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributionsTail index estimation for heavy tails; accommodation of bias in the excesses over a high thresholdA note on the asymptotic variance at optimal levels of a bias-corrected Hill estimatorReduced-Bias Tail Index Estimators Under a Third-Order FrameworkBias reduction in the estimation of a shape second-order parameter of a heavy-tailed modelAdaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap MethodologyRevisiting the maximum likelihood estimation of a positive extreme value indexEstimation of a scale second-order parameter related to the PORT methodologyAdaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithmsA computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation



Cites Work