Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
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Publication:2862408
semiparametric estimationbias reductionextreme value indexstatistics of extremesheuristic methodsGARCH processeslocation/scale invariant estimationadaptive choices
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- scientific article; zbMATH DE number 842531 (Why is no real title available?)
- A Skew Extension of the T-Distribution, with Applications
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A new class of estimators of a ``scale second order parameter
- A simple general approach to inference about the tail of a distribution
- A simple second-order reduced bias’ tail index estimator
- Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
- Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Extreme quantile estimation for dependent data, with applications to finance
- Generalized autoregressive conditional heteroscedasticity
- Kernel estimators for the second order parameter in extreme value statistics
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- Semi-parametric estimation for heavy tailed distributions
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- Tail index estimation and an exponential regression model
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
Cited in
(17)- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Comparison at optimal levels of classical tail index estimators: a challenge for reduced-bias estimation?
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- Estimation of a scale second-order parameter related to the PORT methodology
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
- Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
- A simple generalisation of the Hill estimator
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- Competitive estimation of the extreme value index
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Adaptive PORT-MVRB estimation of the extreme value index
- Lehmer's mean-of-order-\(p\) extreme value index estimation: a simulation study and applications
- Improvements in the estimation of the Weibull tail coefficient: a comparative study
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