A moment estimator for the conditional extreme-value index
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Publication:367216
DOI10.1214/13-EJS846zbMATH Open1293.62081MaRDI QIDQ367216FDOQ367216
Authors: Gilles Stupfler 
Publication date: 26 September 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1379596772
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)
Cites Work
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- Statistical inference using extreme order statistics
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- A simple general approach to inference about the tail of a distribution
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- A moment estimator for the index of an extreme-value distribution
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- Functional nonparametric estimation of conditional extreme quantiles
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- Estimation of the conditional tail index using a smoothed local Hill estimator
- Tail index regression
- A moving window approach for nonparametric estimation of the conditional tail index
- Generalized Additive Modelling of Sample Extremes
- Generalized sum plots
- Title not available (Why is that?)
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
Cited In (25)
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- A nonparametric estimator for the conditional tail index of Pareto-type distributions
- A local moment type estimator for the extreme value index in regression with random covariates
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Hypothesis testing for varying coefficient models in tail index regression
- A local moment type estimator for an extreme quantile in regression with random covariates
- The stochastic approximation method for recursive kernel estimation of the conditional extreme value index
- Local robust estimation of Pareto-type tails with random right censoring
- Tail index partition-based rules extraction with application to tornado damage insurance
- Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
- Extremile Regression
- Kernel regression with Weibull-type tails
- Tail index varying coefficient model
- Efficient estimation of partially linear tail index models using B‐splines
- An estimator for the tail index of an integrated conditional Pareto-Weibull-type model
- Extreme geometric quantiles in a multivariate regular variation framework
- An estimator for the extreme-value index
- Estimating the conditional extreme-value index under random right-censoring
- Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
- Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles
- Empirical likelihood based inference for conditional Pareto-type tail index
- A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
- Testing the Multivariate Regular Variation Model
- Improved interexceedance-times-based estimator of the extremal index using truncated distribution
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