Abelian and Tauberian Theorems on the Bias of the Hill Estimator
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Publication:4455912
DOI10.1111/1467-9469.00301zbMATH Open1035.62042OpenAlexW2005999254MaRDI QIDQ4455912FDOQ4455912
Authors: Johan Segers 
Publication date: 16 March 2004
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9469.00301
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Cites Work
- Optimal choice of sample fraction in extreme-value estimation
- Tail index estimation and an exponential regression model
- Selecting the optimal sample fraction in univariate extreme value estimation
- How to make a Hill plot.
- Title not available (Why is that?)
- Using a bootstrap method to choose the sample fraction in tail index estimation
- Title not available (Why is that?)
- Semiparametric lower bounds for tail index estimation
- A bootstrap-based method to achieve optimality in estimating the extreme-value index
- Nonparametric tail estimation using a double bootstrap method.
- Second-order regular variation, convolution and the central limit theorem
- Optimal rates of convergence for estimates of the extreme value index
- A class of Pickands-type estimators for the extreme value index
- Bootstrap confidence intervals for tail indices.
- Smoothing the moment estimator of the extreme value parameter
Cited In (8)
- Inference about the tail of a distribution: improvement on the Hill estimator
- Are there common values in first-price auctions? A tail-index nonparametric test
- New power limits for extremes
- Limit laws for the norms of extremal samples
- Tail index estimation, concentration and adaptivity
- Sample Path Large Deviations for Order Statistics
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- Penultimate approximation for Hill's estimator
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