Tail index and second-order parameters' semi-parametric estimation based on the log-excesses

DOI10.1080/00949650902755178MaRDI QIDQ3589967zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

heavy tailsmaximum likelihoodsurvival analysisMonte Carlo simulationsemi-parametric estimationstatistics of extremeslog-excesses

Mathematics Subject Classification ID

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)

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Cites work

• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
• A moment estimator for the index of an extreme-value distribution
• A new class of estimators of a ``scale second order parameter
• A simple general approach to inference about the tail of a distribution
• A simple second-order reduced bias’ tail index estimator
• Adaptive estimates of parameters of regular variation
• Comparison of tail index estimators
• Estimation of the extreme value index and extreme quantiles under random censoring
• Estimation of the extreme-value index and generalized quantile plots
• Extreme value theory. An introduction.
• Improved reduced-bias tail index and quantile estimators
• Statistics of extremes under random censoring
• Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter

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
• Mean-of-order p reduced-bias extreme value index estimation under a third-order framework
• Maximum likelihood revisited under a semi-parametric context - estimation of the tail index
• 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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