A moment estimator for the conditional extreme-value index
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Cites work
- scientific article; zbMATH DE number 5147265 (Why is no real title available?)
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- A moment estimator for the index of an extreme-value distribution
- A moving window approach for nonparametric estimation of the conditional tail index
- A simple general approach to inference about the tail of a distribution
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Estimation of the conditional tail index using a smoothed local Hill estimator
- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
- Extreme value theory. An introduction.
- Frontier estimation and extreme value theory
- Functional kernel estimators of large conditional quantiles
- Functional nonparametric estimation of conditional extreme quantiles
- Generalized Additive Modelling of Sample Extremes
- Generalized sum plots
- Kernel estimators of extreme level curves
- Local Likelihood Smoothing of Sample Extremes
- Nonparametric regression estimation of conditional tails: the random covariate case
- On kernel smoothing for extremal quantile regression
- Optimal bandwidth selection in nonparametric regression function estimation
- Statistical inference using extreme order statistics
- Statistics of Extremes
- Sur la distribution limite du terme maximum d'une série aléatoire
- Tail index regression
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
- A local moment type estimator for an extreme quantile in regression with random covariates
- Hypothesis testing for varying coefficient models in tail index regression
- 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
- Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
- Tail index partition-based rules extraction with application to tornado damage insurance
- 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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