Asymptotic properties of generalized DPR statistic

DOI10.1007/S10986-012-9158-4MaRDI QIDQ392996zbMATH OpenOpenAlexFDO

Authors Marijus Vaičiulis

Publication date 15 January 2014

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-012-9158-4

zbMATH Keywords

asymptotic normalityDPR estimatorHill estimatormean-squared errorPickands estimatortail index

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32)

Recommendations

• Asymptotic analysis of generalized Greenwood statistics for very heavy tails
• Asymptotics for T-estimators
• On the asymptotic normality of Hill's estimator
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Several modifications of DPR estimator of the tail index

Cites work

• A class of asymptotically unbiased semi-parametric estimators of the tail index.
• A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
• A moment estimator for the index of an extreme-value distribution
• A new estimator for a tail index
• A simple general approach to inference about the tail of a distribution
• Comparison of tail index estimators
• More on \(p\)-stable convex sets in Banach spaces
• On the estimation of the parameters of multivariate stable distributions
• On the tail index of a heavy tailed distribution
• Several modifications of DPR estimator of the tail index
• Statistical inference using extreme order statistics
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions

Cited in

(6)

• An estimator of heavy tail index through the generalized jackknife methodology
• Asymptotic analysis of generalized Greenwood statistics for very heavy tails
• Location invariant heavy tail index estimation with block method
• A review of more than one hundred Pareto-tail index estimators
• Inference of high quantiles of a heavy-tailed distribution from block data
• Heavy tail index estimation for block data

This page was built for publication: Asymptotic properties of generalized DPR statistic

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q392996)