Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
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Publication:4366113
DOI10.2307/2291593zbMATH Open0881.62077OpenAlexW4236566926MaRDI QIDQ4366113FDOQ4366113
Authors: J. Beirlant, Petra Vynckier, J. L. Teugels 
Publication date: 18 November 1997
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2291593
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- Kernel estimators for the second order parameter in extreme value statistics
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- A robust estimator for the tail index of Pareto-type distributions
- Bimodal \(t\)-ratios: the impact of thick tails on inference
- Parameter estimation of the Pareto distribution using a pivotal quantity
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known
- Goodness-of-fit analysis for multivariate normality based on generalized quantiles.
- Sequential monitoring of the tail behavior of dependent data
- Sparse representation of multivariate extremes with applications to anomaly detection
- Regression with response distributions of Pareto-type
- Tail index estimation and an exponential regression model
- Bootstrap confidence intervals for tail indices.
- Self-similar communication models and very heavy tails.
- A robust estimator of the tail index based on an exponential regression model
- Worm plot to diagnose fit in quantile regression
- Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data
- Estimating extreme bivariate quantile regions
- Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
- Selecting the optimal sample fraction in univariate extreme value estimation
- How to make a Hill plot.
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- Bayesian threshold selection for extremal models using measures of surprise
- On the estimation of a changepoint in a tail index
- On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
- Threshold selection and trimming in extremes
- Detecting tail behavior: mean excess plots with confidence bounds
- Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
- Averages of Hill estimators
- Zero-inflated truncated generalized Pareto distribution for the analysis of radio audience data
- A robust semi-parametric approach for measuring income inequality in Malaysia
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- Some results on the behaviour of hill's estimator
- Estimation of the third-order parameter in extreme value statistics
- The extent of the maximum likelihood estimator for the extreme value index
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- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Pareto Index Estimation Under Moderate Right Censoring
- Estimation of central shapes of error distributions in linear regression problems
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- Burr regression and portfolio segmentation
- Estimation and inference about tail features with tail censored data
- Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
- Hidden regular variation and the rank transform
- QQ Plots, Random Sets and Data from a Heavy Tailed Distribution
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- Applied regression analysis bibliography update 1994-97
- Empirical likelihood based inference for conditional Pareto-type tail index
- Subsampling the distribution of diverging statistics with applications to finance
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- Tail fitting for truncated and non-truncated Pareto-type distributions
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- Extremal memory of stochastic volatility with an application to tail shape inference
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- Hidden regular variation under full and strong asymptotic dependence
- Peaks-over-threshold modeling under random censoring
- On the identification of extreme outliers and dragon-kings mechanisms in the upper tail of income distribution
- Estimation of the extreme-value index and generalized quantile plots
- A two-step estimator of the extreme value index
- Testing for small bias of tail index estimators
- Semiparametric Tail Index Regression
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Statistical learning theory for fitting multimodal distribution to rainfall data: an application
- Spatial modeling of extreme rainfall in northeast Thailand
- Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes
- A review of more than one hundred Pareto-tail index estimators
- A new test for tail index with application to Danish fire loss data
- Estimation for Extreme Conditional Quantiles of Functional Quantile Regression
- POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
- Hunting for Black Swans in the European Banking Sector Using Extreme Value Analysis
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
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