Reduced‐bias tail index estimation and the jackknife methodology

DOI10.1111/j.1467-9574.2007.00346.xzbMath1121.62054MaRDI QIDQ3592389

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

zbMATH Keywords

resampling; extremes

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

62G09: Nonparametric statistical resampling methods

Related Items

Local Estimation of the Second-Order Parameter in Extreme Value Statistics and Local Unbiased Estimation of the Tail Index, Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence, A simple generalisation of the Hill estimator, Semi-parametric tail inference through probability-weighted moments, Semi-parametric estimation for heavy tailed distributions, Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold, Subsampling techniques and the jackknife methodology in the estimation of the extremal index, 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

Cites Work

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