Asymptotic comparison of the mixed moment and classical extreme value index estimators

DOI10.1016/J.SPL.2007.07.026MaRDI QIDQ2483435zbMATH OpenOpenAlexFDO

Authors M. Ivette Gomes, Cláudia Neves

Publication date 28 April 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.07.026

zbMATH Keywords

asymptotic theoryextreme value indexsemi-parametric estimationstatistics of extremes

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3903649 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• A moment estimator for the index of an extreme-value distribution
• A note on second order conditions in extreme value theory: linking general and heavy tail conditions
• A simple general approach to inference about the tail of a distribution
• Comparison of tail index estimators
• Estimating tails of probability distributions
• Extreme value theory. An introduction.
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• On maximum likelihood estimation of the extreme value index.
• On optimising the estimation of high quantiles of a probability distribution
• Peaks over random threshold methodology for tail index and high quantile estimation
• Reduced‐bias tail index estimation and the jackknife methodology

Cited in

(16)

• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• Modeling nonstationary extremes of storm severity: comparing parametric and semiparametric inference
• Multivariate moment based extreme value index estimators
• Mixed moment estimator and location invariant alternatives
• Adaptive estimation of heavy right tails: resampling-based methods in action
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
• Moment estimation for bivariate extreme value distributions in mixed models
• Extreme value index estimator using maximum likelihood and moment estimation
• Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators
• On the comparison of several classical estimators of the extreme value index
• A simple generalisation of the Hill estimator
• Weiss-Hill estimator
• Competitive estimation of the extreme value index
• On an improvement of Hill and some other estimators
• Semi-parametric tail inference through probability-weighted moments

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