On tail index estimation using a sample with missing observations

DOI10.1016/J.SPL.2012.01.014MaRDI QIDQ433581zbMATHOpenAlexFDO

Authors I. Ilić

Publication date 5 July 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.01.014

zbMATH Keywords

parameter estimationextremal dependencenear epoch dependencemissing observationstail indices

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 1301726 (Why is no real title available?)
• scientific article; zbMATH DE number 1069355 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
• Extremes and related properties of random sequences and processes
• Hill's estimator for the tail index of an ARMA model
• Limiting behaviour of a geometric-type estimator for tail indices.
• Non-linear time series and Markov chains
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• On estimation of the exponent of regular variation using a sample with missing observations
• On tail index estimation using dependent data
• Semi-empirical pseudo-likelihood for estimating equations in the presence of missing responses
• Sensitivity to missing data assumptions: theory and an evaluation of the U.S. wage structure
• Tail and nontail memory with applications to extreme value and robust statistics
• Tail estimates motivated by extreme value theory
• Weak limiting behaviour of a simple tail Pareto-index estimator

Cited in

(10)

• Simple tail index estimation for dependent and heterogeneous data with missing values
• A simple empirical inquiry concerning tail risk
• Tail dependence under sample failures
• An enhanced method for tail index estimation under missingness
• Handling missing extremes in tail estimation
• Consistent estimation of the tail index for dependent data
• Inference on heavy tails from dependent data
• On estimation of the exponent of regular variation using a sample with missing observations
• Incomplete samples and tail estimation for stationary sequences
• Extreme value analysis without the largest values: what can be done?

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