Abelian and Tauberian Theorems on the Bias of the Hill Estimator

DOI10.1111/1467-9469.00301MaRDI QIDQ4455912zbMATHOpenAlexFDO

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

zbMATH Keywords

asymptotic behaviourtail indexO-regularly varying functionMatuzewska index

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 1082202 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• A class of Pickands-type estimators for the extreme value index
• Bootstrap confidence intervals for tail indices.
• How to make a Hill plot.
• Nonparametric tail estimation using a double bootstrap method.
• Optimal choice of sample fraction in extreme-value estimation
• Optimal rates of convergence for estimates of the extreme value index
• Second-order regular variation, convolution and the central limit theorem
• Selecting the optimal sample fraction in univariate extreme value estimation
• Semiparametric lower bounds for tail index estimation
• Smoothing the moment estimator of the extreme value parameter
• Tail index estimation and an exponential regression model
• Using a bootstrap method to choose the sample fraction in tail index estimation

Cited in

(8)

• New power limits for extremes
• Limit laws for the norms of extremal samples
• Sample Path Large Deviations for Order Statistics
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• Tail index estimation, concentration and adaptivity
• Inference about the tail of a distribution: improvement on the Hill estimator
• Penultimate approximation for Hill's estimator
• Are there common values in first-price auctions? A tail-index nonparametric test

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