Refined pickands estimators wtth bias correction
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Publication:4337160
DOI10.1080/03610929608831735zbMath0875.62109OpenAlexW2062432692MaRDI QIDQ4337160
Publication date: 11 November 1997
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610929608831735
robustnessextreme value indexbias correctionrefined Pickands estimatorchoice of fraction of largest order statisticsmixed Pickands estimatorunivariate extreme value distribution
Related Items (12)
Generalized Pareto processes and fund liquidity risk ⋮ A general class of estimators of the extreme value index ⋮ Reduced bias estimation of the shape parameter of the log-logistic distribution ⋮ Unnamed Item ⋮ Asymptotically unbiased estimators for the extreme-value index ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ A tail estimator for the index of the stable paretian distribution∗ ⋮ A practical method for analysing heavy tailed data ⋮ How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events ⋮ Does bias reduction with external estimator of second order parameter work for endpoint? ⋮ Second-order refined peaks-over-threshold modelling for heavy-tailed distributions ⋮ An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
Cites Work
- Von Mises conditions revisited
- On the estimation of the extreme-value index and large quantile estimation
- A moment estimator for the index of an extreme-value distribution
- Adaptive estimates of parameters of regular variation
- Estimating tails of probability distributions
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- Optimal choice of sample fraction in extreme-value estimation
- Refined Pickands estimators of the extreme value index
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
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