Comparison of tail index estimators
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Publication:4259394
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Cited in
(only showing first 100 items - show all)- Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
- 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
- Priority statement and some properties of t-lgHill estimator
- A bootstrap method to test for the existence of finite moments
- On extreme quantile region estimation under heavy-tailed elliptical distributions
- A simple second-order reduced bias’ tail index estimator
- A class of new tail index estimators
- Censoring estimators of a positive tail index
- 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
- On the comparison of several classical estimators of the extreme value index
- On tail index estimation based on multivariate data
- An estimator of heavy tail index through the generalized jackknife methodology
- A two-step estimator of the extreme value index
- Asymptotic properties of generalized DPR statistic
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- Threshold selection in univariate extreme value analysis
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- On robust tail index estimation for linear long-memory processes
- A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Weighted least squares estimation of the extreme value index
- 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
- Improvements in the estimation of the Weibull tail coefficient: a comparative study
- An adaptive optimal estimate of the tail index for MA(1) time series
- On the tail index of a heavy tailed distribution
- On the residual dependence index of elliptical distributions
- On comparison of the tail index of heavy tail distributions using Pitman's measure of closeness
- Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
- Weibull tail-distributions revisited: A new look at some tail estimators
- Confidence regions for high quantiles of a heavy tailed distribution
- Tail approximations to the density function in EVT
- Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- On robust tail index estimation
- The MOP EVI-estimator revisited
- An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
- Random weighting estimation of stable exponent
- Residual estimators
- Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Performance of global random search algorithms for large dimensions
- A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
- Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution
- A class of asymptotically unbiased semi-parametric estimators of the tail index.
- New Reduced-bias Estimators of a Positive Extreme Value Index
- Tail index estimation based on survey data
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- Improved reduced-bias tail index and quantile estimators
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- scientific article; zbMATH DE number 3921736 (Why is no real title available?)
- Weighted least-squares estimators of tail indices
- Local-maximum-based tail index estimator
- Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
- Asymptotically unbiased estimators for the extreme-value index
- Hill's estimator for the tail index of an ARMA model
- Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
- Averages of Hill estimators
- Competitive estimation of the extreme value index
- Semi-parametric second-order reduced-bias high quantile estimation
- Minimum-Distance Estimator for Stable Exponent
- Regression estimators for the tail index
- A discussion on mean excess plots
- Multivariate Hill Estimators
- A refined Weissman estimator for extreme quantiles
- Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution.
- Wavelet variances for heavy-tailed time series
- Comparison at optimal levels of classical tail index estimators: a challenge for reduced-bias estimation?
- Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
- Semi-parametric tail inference through probability-weighted moments
- Reiss and Thomas' automatic selection of the number of extremes
- Comparison of estimators in stable models.
- The coupling method in extreme value theory
- On the Optimality of Estimating the Tail Index and a Naive Estimator
- A Beran-inspired estimator for the Weibull-type tail coefficient
- Comparison of the several parameterized estimators for the positive extreme value index
- A review of more than one hundred Pareto-tail index estimators
- A test for comparing tail indices for heavy-tailed distributions via empirical likelihood
- Reduced‐bias tail index estimation and the jackknife methodology
- A simple generalisation of the Hill estimator
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- Estimation of central shapes of error distributions in linear regression problems
- Bias reduction and explicit semi-parametric estimation of the tail index
- Procedure of test to compare the tail indices
- Location invariant Weiss-Hill estimator
- Heavy tail index estimation based on block order statistics
- Limit laws for the norms of extremal samples
- Comparing extreme models when the sign of the extreme value index is known
- Change point tests for the tail index of \(\beta\)-mixing random variables
- 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
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