Refined pickands estimators wtth bias correction
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Publication:4337160
DOI10.1080/03610929608831735zbMATH Open0875.62109OpenAlexW2062432692MaRDI QIDQ4337160FDOQ4337160
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
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Cites Work
- Statistical inference using extreme order statistics
- Adaptive estimates of parameters of regular variation
- Estimating tails of probability distributions
- A simple general approach to inference about the tail of a distribution
- Optimal choice of sample fraction in extreme-value estimation
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
- A moment estimator for the index of an extreme-value distribution
- On the estimation of the extreme-value index and large quantile estimation
- Refined Pickands estimators of the extreme value index
- Von Mises conditions revisited
Cited In (19)
- How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events
- 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
- Bias reduced peaks over threshold tail estimation
- Asymptotically unbiased estimators for the extreme-value index
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- A general class of estimators of the extreme value index
- Reduced bias estimation of the shape parameter of the log-logistic distribution
- A review of more than one hundred Pareto-tail index estimators
- Extreme value theory in mixture distributions and a statistical method to control the possible bias
- A class of distribution functions with less bias in extreme value estimation
- Does bias reduction with external estimator of second order parameter work for endpoint?
- A tail estimator for the index of the stable paretian distribution∗
- Efficiency of convex combinations of pickands estimator of the extreme value index
- A practical method for analysing heavy tailed data
- Bias-corrected geometric-type estimators of the tail index
- Title not available (Why is that?)
- Generalized Pareto processes and fund liquidity risk
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