Mean-of-order p reduced-bias extreme value index estimation under a third-order framework
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Publication:347140
DOI10.1007/S10687-016-0261-5zbMATH Open1357.62211OpenAlexW2461286013MaRDI QIDQ347140FDOQ347140
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Cites Work
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- 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
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- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
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- A simple general approach to inference about the tail of a distribution
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- Adaptive estimates of parameters of regular variation
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- 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
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- Excess functions and estimation of the extreme-value index
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- 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
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- 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
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- 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)
- 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
- The MOP EVI-estimator revisited
- A couple of non reduced bias generalized means in extreme value theory: an asymptotic comparison
- 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
- Lehmer's mean-of-order-\(p\) extreme value index estimation: a simulation study and applications
- 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
- Efficiency of partially reduced-bias mean-of-order-\(p\) versus minimum-variance reduced-bias extreme value index estimation
- 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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