Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
DOI10.1080/00949650902755178zbMATH Open1195.62069OpenAlexW1971527059MaRDI QIDQ3589967FDOQ3589967
Authors: M. Ivette Gomes, Lígia Henriques-Rodrigues, Hugo Pereira, Dinis Pestana 
Publication date: 17 September 2010
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650902755178
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heavy tailsmaximum likelihoodsurvival analysisMonte Carlo simulationsemi-parametric estimationstatistics of extremeslog-excesses
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to biology and medical sciences; meta analysis (62P10) Medical applications (general) (92C50) Statistics of extreme values; tail inference (62G32)
Cites Work
- Extreme value theory. An introduction.
- Adaptive estimates of parameters of regular variation
- A simple general approach to inference about the tail of a distribution
- ``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
- Improved reduced-bias tail index and quantile estimators
- Comparison of tail index estimators
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A simple second-order reduced bias’ tail index estimator
- Estimation of the extreme-value index and generalized quantile plots
- A moment estimator for the index of an extreme-value distribution
- Statistics of extremes under random censoring
- Estimation of the extreme value index and extreme quantiles under random censoring
- Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
- A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
Cited In (15)
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
- Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- New Reduced-bias Estimators of a Positive Extreme Value Index
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- Extreme Quantile Estimation for Autoregressive Models
- A simple generalisation of the Hill estimator
- Weighted moment estimators for the second order scale parameter
- Adaptive estimation of heavy right tails: resampling-based methods in action
- Maximum likelihood revisited under a semi-parametric context - estimation of the tail index
- Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- Revisiting the maximum likelihood estimation of a positive extreme value index
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