Refined pickands estimators wtth bias correction

DOI10.1080/03610929608831735MaRDI QIDQ4337160zbMATH OpenOpenAlexFDO

Authors 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

bias correctionchoice of fraction of largest order statisticsextreme value indexmixed Pickands estimatorrefined Pickands estimatorrobustnessunivariate extreme value distribution

Mathematics Subject Classification ID

Point estimation (62F10)

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Cites work

• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
• Adaptive estimates of parameters of regular variation
• Estimating tails of probability distributions
• On the estimation of the extreme-value index and large quantile estimation
• Optimal choice of sample fraction in extreme-value estimation
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Refined Pickands estimators of the extreme value index
• Statistical inference using extreme order statistics
• Von Mises conditions revisited

Cited in

(19)

• Does bias reduction with external estimator of second order parameter work for endpoint?
• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
• A general class of estimators of the extreme value index
• An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
• Bias correction in multivariate extremes
• Bias correction in extreme value statistics with index around zero
• A class of distribution functions with less bias in extreme value estimation
• Bias-corrected geometric-type estimators of the tail index
• Extreme value theory in mixture distributions and a statistical method to control the possible bias
• Efficiency of convex combinations of pickands estimator of the extreme value index
• A tail estimator for the index of the stable paretian distribution^∗
• scientific article; zbMATH DE number 488428 (Why is no real title available?)
• How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events
• Asymptotically unbiased estimators for the extreme-value index
• Generalized Pareto processes and fund liquidity risk
• A practical method for analysing heavy tailed data
• Bias reduced peaks over threshold tail estimation
• Reduced bias estimation of the shape parameter of the log-logistic distribution
• A review of more than one hundred Pareto-tail index estimators

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