New Reduced-bias Estimators of a Positive Extreme Value Index
From MaRDI portal
Publication:3178492
DOI10.1080/03610918.2013.875567zbMath1342.62083OpenAlexW2150383603MaRDI QIDQ3178492
M. Ivette Gomes, Dinis Pestana, M. Fátima Brilhante
Publication date: 14 July 2016
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2013.875567
Monte Carlo simulationheavy tailsbias estimationstatistics of extremessemi-parametric reduced-bias estimation
Related Items
Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application, Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation, Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework, Corrected-Hill versus partially reduced-bias value-at-risk estimation, Estimation of extreme quantiles from heavy-tailed distributions with neural networks, Semi-parametric regression estimation of the tail index, Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model, A refined Weissman estimator for extreme quantiles, Threshold selection and trimming in extremes, Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
Cites Work
- A simple generalisation of the Hill estimator
- Semi-parametric estimation for heavy tailed distributions
- Adaptive estimation of heavy right tails: resampling-based methods in action
- Kernel estimators for the second order parameter in extreme value statistics
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Adaptive estimates of parameters of regular variation
- A simple general approach to inference about the tail of a distribution
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- 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
- A new class of estimators of a ``scale second order parameter
- Sur la distribution limite du terme maximum d'une série aléatoire
- Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Comparison of tail index estimators
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- The MOP EVI-Estimator Revisited
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A simple second-order reduced bias’ tail index estimator
- Unnamed Item
- Unnamed Item
