Mean-of-order p reduced-bias extreme value index estimation under a third-order framework

DOI10.1007/S10687-016-0261-5zbMATH Open1357.62211OpenAlexW2461286013MaRDI QIDQ347140FDOQ347140

Authors: Frederico Caeiro, Tertius de Wet, M. Ivette Gomes, J. Beirlant 

Publication date: 30 November 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-016-0261-5

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zbMATH Keywords

heavy tailsMonte Carlo simulationbias estimationHill estimatoroptimal levelsstatistics of extremessemiparametric reduced-bias estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

Cites Work

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Cited In (17)

• 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
• Improvements in the estimation of the Weibull tail coefficient: a comparative study
• Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network
• Reduced-bias heavy-tailed index estimation under a third order framework
• Lehmer's mean-of-order- p extreme value index estimation: a simulation study and applications
• The MOP EVI-estimator revisited
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
• Reliable alternative ways to manage the risk of extreme events
• Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
• A review of more than one hundred Pareto-tail index estimators
• Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations
• IPO estimation of heaviness of the distribution beyond regularly varying tails
• On the comparison of several classical estimators of the extreme value index
• A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators

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