A note on second order conditions in extreme value theory: linking general and heavy tail conditions

MaRDI QIDQ3540680zbMATH OpenFDO

Authors M. Isabel Fraga Alves, M. Ivette Gomes, Cláudia Neves, Laurens De Haan

Publication date 24 November 2008

zbMATH Keywords

extreme value indexregular variationsemi-parametric estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Rate of growth of functions, orders of infinity, slowly varying functions (26A12)

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Cited in

(18)

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• A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
• Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
• On extreme quantile region estimation under heavy-tailed elliptical distributions
• Estimation and Inference of Extremal Quantile Treatment Effects for Heavy-Tailed Distributions
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
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• Kernel estimation of extreme regression risk measures
• Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
• Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring
• A local moment type estimator for the extreme value index in regression with random covariates
• Lehmer's mean-of-order-\(p\) extreme value index estimation: a simulation study and applications

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