Comparison of tail index estimators

DOI10.1111/1467-9574.00068zbMATH Open0937.62050OpenAlexW2099040323MaRDI QIDQ4259394FDOQ4259394

Authors: Laurens De Haan, Liang Peng 

Publication date: 23 August 1999

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9574.00068

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zbMATH Keywords

asymptotic normalityorder statisticsextreme-value indexmean squared errors

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

Cited In (only showing first 100 items - show all)

• A location-invariant probability weighted moment estimation of the Extreme Value Index
• Asymptotic properties of generalized DPR statistic
• Threshold selection in univariate extreme value analysis
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
• A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
• Weighted least squares estimation of the extreme value index
• An adaptive optimal estimate of the tail index for MA(1) time series
• On the tail index of a heavy tailed distribution
• PORT Hill and Moment Estimators for Heavy-Tailed Models
• On the residual dependence index of elliptical distributions
• Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
• Tail approximations to the density function in EVT
• Weibull tail-distributions revisited: A new look at some tail estimators
• Confidence regions for high quantiles of a heavy tailed distribution
• Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
• The MOP EVI-estimator revisited
• On robust tail index estimation
• An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
• Residual estimators
• Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
• New Reduced-bias Estimators of a Positive Extreme Value Index
• A class of asymptotically unbiased semi-parametric estimators of the tail index.
• Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
• Asymptotic comparison of the mixed moment and classical extreme value index estimators
• Improved reduced-bias tail index and quantile estimators
• Weighted least-squares estimators of tail indices
• Local-maximum-based tail index estimator
• Hill's estimator for the tail index of an ARMA model
• Asymptotically unbiased estimators for the extreme-value index
• Averages of Hill estimators
• Multivariate Hill Estimators
• Competitive estimation of the extreme value index
• Semi-parametric second-order reduced-bias high quantile estimation
• A discussion on mean excess plots
• Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution.
• Comparison at optimal levels of classical tail index estimators: a challenge for reduced-bias estimation?
• On the Optimality of Estimating the Tail Index and a Naive Estimator
• Semi-parametric tail inference through probability-weighted moments
• Reiss and Thomas' automatic selection of the number of extremes
• A Beran-inspired estimator for the Weibull-type tail coefficient
• Reduced‐bias tail index estimation and the jackknife methodology
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
• A simple generalisation of the Hill estimator
• Bias reduction and explicit semi-parametric estimation of the tail index
• Limit laws for the norms of extremal samples
• Change point tests for the tail index of \(\beta\)-mixing random variables
• Procedure of test to compare the tail indices
• Location invariant Weiss-Hill estimator
• Comparing extreme models when the sign of the extreme value index is known
• Adaptive estimation of heavy right tails: resampling-based methods in action
• Weak limits for exploratory plots in the analysis of extremes
• Semiparametric lower bounds for tail index estimation
• Extremal dependence analysis of network sessions
• A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
• Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
• Title not available (Why is that?)
• On an improvement of Hill and some other estimators
• A class of semi-parametric probability weighted moment estimators
• Bootstrap and empirical likelihood methods in extremes
• Reduced-bias location-invariant extreme value index estimation: a simulation study
• Asymptotic normality of location invariant heavy tail index estimator
• A class of semiparametric tail index estimators and its applications
• Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
• Inferences on parametric estimation of distribution tails
• Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
• A bootstrap method to test for the existence of finite moments
• Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
• Several modifications of DPR estimator of the tail index
• A simple second-order reduced bias’ tail index estimator
• Censoring estimators of a positive tail index
• A class of new tail index estimators
• Semi-parametric probability-weighted moments estimation revisited
• Tail index estimation with a fixed tuning parameter fraction
• A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• A two-step estimator of the extreme value index
• The harmonic moment tail index estimator: asymptotic distribution and robustness
• Corrected-Hill versus partially reduced-bias value-at-risk estimation
• On robust tail index estimation for linear long-memory processes
• Improvements in the estimation of the Weibull tail coefficient: a comparative study
• How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events
• Comparison between two indicators for the variation regularity of tails of distributions
• On comparison of the tail index of heavy tail distributions using Pitman's measure of closeness
• A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
• Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• Random weighting estimation of stable exponent
• A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
• Performance of global random search algorithms for large dimensions
• Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution
• Tail index estimation based on survey data
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• Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
• Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
• Regression estimators for the tail index
• Minimum-Distance Estimator for Stable Exponent
• A refined Weissman estimator for extreme quantiles
• Wavelet variances for heavy-tailed time series
• Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
• Comparison of estimators in stable models.

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