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

Weibull modelPareto modelExtreme value theoryLocal asymptotic normality

Mathematics Subject Classification ID

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

Recommendations

• Semi-parametric regression estimation of the tail index
• A class of semiparametric tail index estimators and its applications
• A class of asymptotically unbiased semi-parametric estimators of the tail index.
• Some results on estimation of the tail index of a distribution
• Maximum likelihood revisited under a semi-parametric context - estimation of the tail index

Cites work

• scientific article; zbMATH DE number 3824949 (Why is no real title available?)
• scientific article; zbMATH DE number 37440 (Why is no real title available?)
• scientific article; zbMATH DE number 1301726 (Why is no real title available?)
• scientific article; zbMATH DE number 490141 (Why is no real title available?)
• scientific article; zbMATH DE number 1082202 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• Adaptive estimates of parameters of regular variation
• Asymptotically efficient estimation of the index of regular variation
• Asymptotics in statistics: some basic concepts
• Best attainable rates of convergence for estimates of parameters of regular variation
• Comparison of tail index estimators
• Estimation of distribution tails —a semiparametric approach
• Local asymptotic normality in extreme value index estimation
• Minimax risk bounds in extreme value theory
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• On asymptotic normality of the hill estimator
• On testing the extreme value index via the POT-method
• Optimal rates of convergence for estimates of the extreme value index
• The mean residual life function at great age: Applications to tail estimation
• Uniform rates of convergence in extreme-value theory
• Weighted empirical and quantile processes

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
• Weibull tail-distributions revisited: A new look at some tail estimators
• Optimal rates of convergence in the Weibull model based on kernel-type estimators
• Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data
• Semiparametric Inference and Lower Bounds for Real Elliptically Symmetric Distributions
• Bias-reduced estimators of the Weibull tail-coefficient
• Semiparametric Tail Index Regression
• Pitfalls in using Weibull tailed distributions
• scientific article; zbMATH DE number 1143417 (Why is no real title available?)
• 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
• Semi-parametric tail inference through probability-weighted moments
• On the Optimality of Estimating the Tail Index and a Naive Estimator
• A tail index estimation for long memory processes
• Bias-reduced extreme quantile estimators of Weibull tail-distributions
• Tail index estimation, concentration and adaptivity
• Tail index estimation with a fixed tuning parameter fraction
• On estimation of the scale and location parameters of distribution tails

This page was built for publication: Semiparametric lower bounds for tail index estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2581645)