A moment estimator for the conditional extreme-value index
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Publication:367216
DOI10.1214/13-EJS846zbMath1293.62081MaRDI QIDQ367216
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
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
Related Items (20)
Extremile Regression ⋮ The stochastic approximation method for recursive kernel estimation of the conditional extreme value index ⋮ Kernel regression with Weibull-type tails ⋮ A local moment type estimator for the extreme value index in regression with random covariates ⋮ 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 ⋮ Nonparametric estimation of the conditional extreme-value index with random covariates and censoring ⋮ Estimating the conditional extreme-value index under random right-censoring ⋮ Tail index partition-based rules extraction with application to tornado damage insurance ⋮ Empirical likelihood based inference for conditional Pareto-type tail index ⋮ A local moment type estimator for an extreme quantile in regression with random covariates ⋮ Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization ⋮ Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles ⋮ A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes ⋮ Local robust estimation of Pareto-type tails with random right censoring ⋮ On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails ⋮ A nonparametric estimator for the conditional tail index of Pareto-type distributions ⋮ Bias-corrected estimation for conditional Pareto-type distributions with random right censoring ⋮ Tail index varying coefficient model
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