scientific article; zbMATH DE number 3824949

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Estimation of the extreme value index and extreme quantiles under random censoring
Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
An estimator of the tail index based on increment ratio statistics
A parametric solution for simple stress-strength model of failure with an application
Long run proportional hazards models of random censorship
Second-order regular variation, convolution and the central limit theorem
On the impossibility of estimating densities in the extreme tail
Tail index estimation for dependent data
A simple robust estimation method for the thickness of heavy tails
A simple generalisation of the Hill estimator
Estimating the index of a stable law via the pot-method
Estimating the index of a stable distribution
Estimating dimension from small samples
On tail parameter estimation in certain point process models
On the robustness of nonlinearity tests to moment condition failure
Almost sure convergence of the stable tail empirical dependence function in multivariate extreme statistics
Inference for heavy tailed distributions
A general class of estimators of the extreme value index
Generalized least-squares estimators for the thickness of heavy tails
Local polynomial maximum likelihood estimation for Pareto-type distributions.
Comparison of estimators in stable models.
An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
Estimation of the tail exponent of multivariate regular variation
Multivariate moment based extreme value index estimators
Semi-parametric regression estimation of the tail index
Empirical likelihood based inference for conditional Pareto-type tail index
Empirical likelihood approach toward discriminant analysis for dynamics of stable processes
Power-law partial correlation network models
Moment estimator for random vectors with heavy tails
Tails of Lorenz curves
Estimation problems for distributions with heavy tails
Extreme quantiles estimation for actuarial applications
Weak limiting behaviour of a simple tail Pareto-index estimator
K-record values and the extreme-value index
Estimation of the tail parameter in the domain of attraction of an extremal distribution
The sample mid-range and symmetrized extremal laws
Tail estimation of the stable index \(\alpha\)
Asymptotically efficient estimation of the index of regular variation
An estimation procedure for the Linnik distribution
On robust tail index estimation
Estimation of central shapes of error distributions in linear regression problems
Dual divergence estimators of the tail index
On estimation of the spectral measure of certain nonnormal operator stable laws
Estimating the probability of a rare event
Estimating a tail exponent by modelling departure from a Pareto distribution
Testing time reversibility without moment restrictions
Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data
Local robust estimation of Pareto-type tails with random right censoring
Threshold selection and trimming in extremes
The coupling method in extreme value theory
Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
Estimation and inference about tail features with tail censored data
A class of semiparametric tail index estimators and its applications
Robust nonparametric estimation of the conditional tail dependence coefficient
Flexible multivariate Hill estimators
Limit laws for the norms of extremal samples
Local-maximum-based tail index estimator
Bias-reduced estimators for bivariate tail modelling
Degree growth rates and index estimation in a directed preferential attachment model
A nonparametric estimator for the conditional tail index of Pareto-type distributions
Risk forecasting in the context of time series
Ridge regression estimators for the extreme value index
On discrimination between classes of distribution tails
Test for tail index constancy of GARCH innovations based on conditional volatility
Revisiting the maximum likelihood estimation of a positive extreme value index
Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution
Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
Robust conditional Weibull-type estimation
Consistency of Hill estimators in a linear preferential attachment model
On posterior consistency of tail index for Bayesian kernel mixture models
Risk concentration of aggregated dependent risks: the second-order properties
The harmonic moment tail index estimator: asymptotic distribution and robustness
Are there common values in first-price auctions? A tail-index nonparametric test
Second-order expansions of the risk concentration based on CTE
Power-law distributions in binned empirical data
On estimation of the exponent of regular variation using a sample with missing observations
Improved reduced-bias tail index and quantile estimators
Asymptotic distribution of a Pickands-type estimator of the extreme-value index
A Monte Carlo method for estimating the correlation exponent
Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
Semiparametric lower bounds for tail index estimation
On the tail index inference for heavy-tailed GARCH-type innovations
On estimation of the scale and location parameters of distribution tails
On robust tail index estimation for linear long-memory processes
On the estimation of the heavy-tail exponent in time series using the max-spectrum
Estimation of distribution tails —a semiparametric approach
Asymptotic distributions for weighted power sums of extreme values
Mean-of-order p reduced-bias extreme value index estimation under a third-order framework
Approximation of high quantiles from intermediate quantiles
Approximation and estimation of very small probabilities of multivariate extreme events
A note on tail dependence regression
Asymptotically unbiased estimators for the extreme-value index
NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
Test for the existence of finite moments via bootstrap
Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models
A discrimination test for tails of Weibull-type distributions
Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles

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