Asymptotically unbiased estimators for the extreme-value index
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Publication:449915
DOI10.1016/S0167-7152(97)00160-0zbMATH Open1246.62129MaRDI QIDQ449915FDOQ449915
Authors: Liang Peng 
Publication date: 2 September 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)
Cites Work
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- Excess functions and estimation of the extreme-value index
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- A simple general approach to inference about the tail of a distribution
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- Comparison of tail index estimators
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- A bootstrap-based method to achieve optimality in estimating the extreme-value index
- Refined Pickands estimators of the extreme value index
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- Refined pickands estimators wtth bias correction
Cited In (44)
- An asymptotically unbiased moment estimator of a negative extreme value index
- Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
- Bias reduction of a tail index estimator through an external estimation of the second-order parameter
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Nonlinear dynamics and intermittency in a long-term copepod time series
- How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events
- Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known
- Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
- Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators
- Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
- On robust tail index estimation
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions
- A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
- Bias correction in multivariate extremes
- New Reduced-bias Estimators of a Positive Extreme Value Index
- A class of asymptotically unbiased semi-parametric estimators of the tail index.
- Bias correction in extreme value statistics with index around zero
- Improved estimators of tail index and extreme quantiles under dependence serials
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- Improved reduced-bias tail index and quantile estimators
- Bias reduced peaks over threshold tail estimation
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- A refined Weissman estimator for extreme quantiles
- Semi-parametric second-order reduced-bias high quantile estimation
- 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 and Statistics of Univariate Extremes: A Review
- Second order properties of distribution tails and estimation of tail exponents in random difference equations
- Location invariant Weiss-Hill estimator
- Does bias reduction with external estimator of second order parameter work for endpoint?
- Asymptotic analysis of portfolio diversification
- Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
- Asymptotically unbiased estimation of the second order tail parameter
- Asymptotic normality of location invariant heavy tail index estimator
- A practical method for analysing heavy tailed data
- Bias-corrected geometric-type estimators of the tail index
- Subsampling extremes: from block maxima to smooth tail estimation
- Haezendonck-Goovaerts risk measure with a heavy tailed loss
- Priority statement and some properties of t-lgHill estimator
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- An estimator of heavy tail index through the generalized jackknife methodology
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