Mean-of-order p reduced-bias extreme value index estimation under a third-order framework
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Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
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Cites work
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 5492169 (Why is no real title available?)
- scientific article; zbMATH DE number 5204924 (Why is no real title available?)
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A moment estimator for the index of an extreme-value distribution
- A new class of estimators of a ``scale second order parameter
- A new class of semi-parametric estimators of the second order parameter.
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- A semi-parametric estimator of a shape second-order parameter
- A simple general approach to inference about the tail of a distribution
- A simple generalisation of the Hill estimator
- Adaptive estimates of parameters of regular variation
- An overview and open research topics in statistics of univariate extremes
- Asymptotically unbiased estimation of the second order tail parameter
- Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
- Comparison of tail index estimators
- Direct reduction of bias of the classical Hill estimator
- Estimation of a scale second-order parameter related to the PORT methodology
- Estimation of second order parameters using probability weighted moments
- Estimation of the extreme-value index and generalized quantile plots
- Excess functions and estimation of the extreme-value index
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Extreme value theory. An introduction.
- Improving second order reduced bias extreme value index estimation
- Kernel estimators for the second order parameter in extreme value statistics
- Linking Pareto-tail kernel goodness-of-fit statistics with tail index at optimal threshold and second order estimation
- Mean-of-order-\(p\) location-invariant extreme value index estimation
- Mixed moment estimator and location invariant alternatives
- New Reduced-bias Estimators of a Positive Extreme Value Index
- On Smooth Statistical Tail Functionals
- On an improvement of Hill and some other estimators
- On the estimation of the second order parameter for heavy-tailed distributions
- On the favorable estimation for fitting heavy tailed data
- PORT-estimation of a shape second-order parameter
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Semi-parametric estimation for heavy tailed distributions
- Statistics of Extremes
- Sur la distribution limite du terme maximum d'une série aléatoire
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- The MOP EVI-estimator revisited
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
Cited in
(19)- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- The MOP EVI-estimator revisited
- Reduced-bias heavy-tailed index estimation under a third order framework
- A couple of non reduced bias generalized means in extreme value theory: an asymptotic comparison
- Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations
- Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- A review of more than one hundred Pareto-tail index estimators
- IPO estimation of heaviness of the distribution beyond regularly varying tails
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
- Reliable alternative ways to manage the risk of extreme events
- 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
- On the comparison of several classical estimators of the extreme value index
- Efficiency of partially reduced-bias mean-of-order-\(p\) versus minimum-variance reduced-bias extreme value index estimation
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- 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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