Semiparametric lower bounds for tail index estimation
DOI10.1016/J.JSPI.2004.08.018zbMATH Open1077.62039OpenAlexW2237145813MaRDI QIDQ2581645FDOQ2581645
Authors: J. Beirlant, Christel Bouquiaux, Bas J. M. Werker 
Publication date: 10 January 2006
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://pure.uvt.nl/portal/en/publications/semiparametric-lower-bounds-for-tail-index-estimation(5995733c-c25b-4adc-9824-43182fee8c99).html
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Cited In (24)
- Lower bounds to the accuracy of inference on heavy tails
- On robust tail index estimation for linear long-memory processes
- On the estimation of the functional Weibull tail-coefficient
- Adaptive and minimax optimal estimation of the tail coefficient
- Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data
- Weibull tail-distributions revisited: A new look at some tail estimators
- Optimal rates of convergence in the Weibull model based on kernel-type estimators
- Semiparametric Inference and Lower Bounds for Real Elliptically Symmetric Distributions
- Semiparametric Tail Index Regression
- Bias-reduced estimators of the Weibull tail-coefficient
- Title not available (Why is that?)
- Pitfalls in using Weibull tailed distributions
- A class of asymptotically unbiased semi-parametric estimators of the tail index.
- Abelian and Tauberian Theorems on the Bias of the Hill Estimator
- Estimation of extreme quantiles from heavy and light tailed distributions
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- On dealing with the unknown population minimum in parametric inference
- On the Optimality of Estimating the Tail Index and a Naive Estimator
- Semi-parametric tail inference through probability-weighted moments
- A tail index estimation for long memory processes
- Bias-reduced extreme quantile estimators of Weibull tail-distributions
- Tail index estimation, concentration and adaptivity
- On estimation of the scale and location parameters of distribution tails
- Tail index estimation with a fixed tuning parameter fraction
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