Refined pickands estimators wtth bias correction

DOI10.1080/03610929608831735zbMath0875.62109OpenAlexW2062432692MaRDI QIDQ4337160

Holger Drees

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

zbMATH Keywords

robustnessextreme value indexbias correctionrefined Pickands estimatorchoice of fraction of largest order statisticsmixed Pickands estimatorunivariate extreme value distribution

Mathematics Subject Classification ID

Point estimation (62F10)

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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