Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study

DOI10.1080/03610918.2010.543297zbMath1217.62040OpenAlexW1981766096MaRDI QIDQ3015856

Lígia Henriques-Rodrigues, M. Cristina Miranda, M. Ivette Gomes

Publication date: 13 July 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2010.543297

zbMATH Keywords

tablesheuristicsbias reductionstatistics of extremesadaptive choicesemi-parametric location/scale invariant estimation

Mathematics Subject Classification ID

Related Items (8)

Location invariant heavy tail index estimation with block method ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ An interview with Ivette Gomes ⋮ Adaptive PORT-MVRB Estimation of the Extreme Value Index ⋮ A Note on the Port Methodology in the Estimation of a Shape Second-Order Parameter ⋮ The Latest Advances on the Hill Estimator and Its Modifications ⋮ Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model ⋮ Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms

Uses Software

• QRM

Cites Work

• Unnamed Item
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• A simple second-order reduced bias’ tail index estimator

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