Competitive estimation of the extreme value index
From MaRDI portal
Publication:310653
DOI10.1016/J.SPL.2016.05.012zbMATH Open1398.62122OpenAlexW2399745793MaRDI QIDQ310653FDOQ310653
Authors: Lígia Henriques-Rodrigues, M. Ivette Gomes 
Publication date: 8 September 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2016.05.012
Recommendations
- Mean-of-order-\(p\) location-invariant extreme value index estimation
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- The MOP EVI-estimator revisited
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
Cites Work
- A simple generalisation of the Hill estimator
- Adaptive estimates of parameters of regular variation
- A simple general approach to inference about the tail of a distribution
- Optimal choice of sample fraction in extreme-value estimation
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- An overview and open research topics in statistics of univariate extremes
- Comparison at optimal levels of classical tail index estimators: a challenge for reduced-bias estimation?
- Direct reduction of bias of the classical Hill estimator
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- Comparison of tail index estimators
- Title not available (Why is that?)
- Title not available (Why is that?)
- Peaks over random threshold methodology for tail index and high quantile estimation
- Improving second order reduced bias extreme value index estimation
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Mixed moment estimator and location invariant alternatives
- Regularly varying functions
- Semi-parametric probability-weighted moments estimation revisited
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- Title not available (Why is that?)
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Title not available (Why is that?)
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- Title not available (Why is that?)
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Semi-parametric tail inference through probability-weighted moments
Cited In (7)
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Competitive Statistical Estimation With Strategic Data Sources
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
- A review of more than one hundred Pareto-tail index estimators
- A location-invariant non-positive moment-type estimator of the extreme value index
- Iterative estimation of the extreme value index
This page was built for publication: Competitive estimation of the extreme value index
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q310653)
