Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
DOI10.1080/03610926.2011.562782zbMATH Open1227.62033OpenAlexW2161072196MaRDI QIDQ3098930FDOQ3098930
Authors: M. Ivette Gomes, Sandra Mendonça, Dinis Pestana 
Publication date: 18 November 2011
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.562782
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Cites Work
- Statistics of Extremes
- A simple general approach to inference about the tail of a distribution
- 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
- Tail index estimation and an exponential regression model
- A new class of estimators of a ``scale second order parameter
- Improved reduced-bias tail index and quantile estimators
- On univariate extreme value statistics and the estimation of reinsurance premiums
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A simple second-order reduced bias’ tail index estimator
- Using a bootstrap method to choose the sample fraction in tail index estimation
- Semi-parametric estimation for heavy tailed distributions
- Kernel estimators for the second order parameter in extreme value statistics
- Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
- Estimating a tail exponent by modelling departure from a Pareto distribution
- A bootstrap-based method to achieve optimality in estimating the extreme-value index
- Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
- Bias reduction for high quantiles
- Estimating catastrophic quantile levels for heavy-tailed distributions
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Asymptotically unbiased estimators for the extreme-value index
- Bias reduction in risk modelling: semi-parametric quantile estimation
Cited In (7)
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- A simple generalisation of the Hill estimator
- Adaptive estimation of heavy right tails: resampling-based methods in action
- Adaptive PORT-MVRB estimation of the extreme value index
- Semi-parametric probability-weighted moments estimation revisited
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