Asymptotically unbiased estimation of the second order tail parameter
DOI10.1016/J.SPL.2011.11.016zbMATH Open1237.62060OpenAlexW2105446961MaRDI QIDQ419178FDOQ419178
Authors: Tertius de Wet, Maria Reimert Munch, Yuri Goegebeur 
Publication date: 18 May 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2011.11.016
Recommendations
- scientific article; zbMATH DE number 6719661
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
- On kernel estimation of the second order rate parameter in multivariate extreme value statistics
- Asymptotically unbiased estimators for the extreme-value index
Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)
Cites Work
- Asymptotic Statistics
- Statistics of Extremes
- Extreme value theory. An introduction.
- A simple general approach to inference about the tail of a distribution
- A new class of semi-parametric estimators of the second order parameter.
- Tail index estimation and an exponential regression model
- Sur la distribution limite du terme maximum d'une série aléatoire
- Title not available (Why is that?)
- Semi-parametric estimation for heavy tailed distributions
- Kernel estimators for the second order parameter in extreme value statistics
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Title not available (Why is that?)
- Asymptotic Distribution of Linear Combinations of Functions of Order Statistics with Applications to Estimation
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Estimation of the third-order parameter in extreme value statistics
Cited In (18)
- Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
- Estimation of the second order parameter characterizing the tail behavior of probability distributions: asymptotic normality
- Bias reduction of a tail index estimator through an external estimation of the second-order parameter
- Kernel estimators for the second order parameter in extreme value statistics
- Modeling of censored bivariate extremal events
- Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- A new class of semi-parametric estimators of the second order parameter.
- The second-order bias of quantile estimators
- A bias-reduced estimator for the mean of a heavy-tailed distribution with an infinite second moment
- A refined Weissman estimator for extreme quantiles
- Estimation of the third-order parameter in extreme value statistics
- A test for comparing tail indices for heavy-tailed distributions via empirical likelihood
- Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
- Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
- On kernel estimation of the second order rate parameter in multivariate extreme value statistics
- A simple second-order reduced bias’ tail index estimator
- Title not available (Why is that?)
This page was built for publication: Asymptotically unbiased estimation of the second order tail parameter
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q419178)
