Semiparametric lower bounds for tail index estimation

DOI10.1016/J.JSPI.2004.08.018MaRDI QIDQ2581645zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Extreme value theoryLocal asymptotic normalityPareto modelWeibull model

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(27)

• Bias-reduced estimators of the Weibull tail-coefficient
• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
• On tail parameter estimation in certain point process models
• A class of asymptotically unbiased semi-parametric estimators of the tail index.
• Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data
• Lower bounds to the accuracy of inference on heavy tails
• Bias-reduced extreme quantile estimators of Weibull tail-distributions
• On estimation of the scale and location parameters of distribution tails
• On the estimation of the functional Weibull tail-coefficient
• On robust tail index estimation for linear long-memory processes
• Adaptive and minimax optimal estimation of the tail coefficient
• On the Optimality of Estimating the Tail Index and a Naive Estimator
• Optimal rates of convergence in the Weibull model based on kernel-type estimators
• scientific article; zbMATH DE number 1143417 (Why is no real title available?)
• Abelian and Tauberian Theorems on the Bias of the Hill Estimator
• Estimation of extreme quantiles from heavy and light tailed distributions
• Semiparametric Inference and Lower Bounds for Real Elliptically Symmetric Distributions
• On dealing with the unknown population minimum in parametric inference
• Semi-parametric tail inference through probability-weighted moments
• Semiparametric Tail Index Regression
• A tail index estimation for long memory processes
• A refined extreme quantile estimator for Weibull tail-distributions
• Tail index estimation for tail adversarial stable time series with an application to high-dimensional tail clustering
• Weibull tail-distributions revisited: A new look at some tail estimators
• Tail index estimation with a fixed tuning parameter fraction
• Tail index estimation, concentration and adaptivity
• Pitfalls in using Weibull tailed distributions

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