Reduced‐bias tail index estimation and the jackknife methodology

DOI10.1111/j.1467-9574.2007.00346.xzbMath1121.62054OpenAlexW2039760691MaRDI 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

resamplingextremes

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)

Related Items (12)

Bias correction in extreme value statistics with index around zero ⋮ Semi-parametric tail inference through probability-weighted moments ⋮ Multivariate Hill Estimators ⋮ Semi-parametric estimation for heavy tailed distributions ⋮ 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 review of more than one hundred Pareto-tail index estimators ⋮ Asymptotic comparison of the mixed moment and classical extreme value index estimators ⋮ A simple generalisation of the Hill estimator ⋮ Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold ⋮ Reduced-Bias Tail Index Estimators Under a Third-Order Framework ⋮ Subsampling techniques and the jackknife methodology in the estimation of the extremal index

Cites Work

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• A general class of estimators of the extreme value index
• 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
• A class of asymptotically unbiased semi-parametric estimators of the tail index.
• Bias reduction and explicit semi-parametric estimation of the tail index
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Approximation by penultimate extreme value distributions
• Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
• Comparison of tail index estimators
• Bias reduction of a tail index estimator through an external estimation of the second-order parameter
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology

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