Reduced‐bias tail index estimation and the jackknife methodology
DOI10.1111/J.1467-9574.2007.00346.XzbMATH Open1121.62054OpenAlexW2039760691MaRDI QIDQ3592389FDOQ3592389
Authors: M. Ivette Gomes, M. Cristina Miranda, Clara Viseu 
Publication date: 13 September 2007
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9574.2007.00346.x
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Cites Work
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- On exponential representations of log-spacings of extreme order statistics
- Semi-parametric estimation of the second order parameter in statistics of extremes
- Tail index estimation and an exponential regression model
- Comparison of tail index estimators
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Title not available (Why is that?)
- Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
- Title not available (Why is that?)
- A general class of estimators of the extreme value index
- Bias reduction and explicit semi-parametric estimation of the tail index
- A class of asymptotically unbiased semi-parametric estimators of the tail index.
- Bias reduction of a tail index estimator through an external estimation of the second-order parameter
- Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
- Approximation by penultimate extreme value distributions
Cited In (22)
- Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
- Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators
- Direct reduction of bias of the classical Hill estimator
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Bias correction in extreme value statistics with index around zero
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Multivariate Hill Estimators
- Semi-parametric tail inference through probability-weighted moments
- A review of more than one hundred Pareto-tail index estimators
- Asymptotically unbiased estimation of the coefficient of tail dependence
- A simple generalisation of the Hill estimator
- Bias reduction and explicit semi-parametric estimation of the tail index
- Title not available (Why is that?)
- Title not available (Why is that?)
- Jackknife methodology for bias reduction in tail index estimation under random truncation
- Title not available (Why is that?)
- Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
- A simple second-order reduced bias’ tail index estimator
- Subsampling techniques and the jackknife methodology in the estimation of the extremal index
- Semi-parametric estimation for heavy tailed distributions
- An estimator of heavy tail index through the generalized jackknife methodology
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