scientific article; zbMATH DE number 1069355
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Publication:4356403
zbMATH Open0893.62023MaRDI QIDQ4356403FDOQ4356403
Jörg Schultze, J. G. Steinebach
Publication date: 24 August 1998
Title of this publication is not available (Why is that?)
Recommendations
consistencylife insuranceleast squares estimateHill estimateadjustment coefficient in risk theoryestimation of exponential tail coefficient
Point estimation (62F10) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cited In (27)
- Testing for small bias of tail index estimators
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Pareto approximation of the tail by local exponential modeling
- Generalized least-squares estimators for the thickness of heavy tails
- A goodness-of-fit statistic for Pareto-type behaviour
- Edgeworth expansion for an estimator of the adjustment coefficient
- Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
- On tail index estimation using a sample with missing observations
- A refined Weissman estimator for extreme quantiles
- Power-law distributions in binned empirical data
- Semi-parametric tail inference through probability-weighted moments
- Limiting behaviour of a geometric-type estimator for tail indices.
- A review of more than one hundred Pareto-tail index estimators
- Estimation of the Weibull tail-coefficient with linear combination of upper order statistics
- A moving window approach for nonparametric estimation of the conditional tail index
- Estimating the conditional tail index by integrating a kernel conditional quantile estimator
- On the tail dependence in bivariate hydrological frequency analysis
- Weak properties and robustness of t-Hill estimators
- Title not available (Why is that?)
- Kernel-type estimators for the extreme value index
- Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
- Consistent estimation of the tail index for dependent data
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- Weak convergence of a bootstrap geometric-type estimator with applications to risk theory
- Semi-parametric estimation for heavy tailed distributions
- A new extreme quantile estimator for heavy-tailed distributions
- Estimation of the extreme-value index and generalized quantile plots
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