Adaptive PORT-MVRB estimation of the extreme value index
DOI10.1007/978-3-642-32419-2_13zbMATH Open1407.62415OpenAlexW38760630MaRDI QIDQ4644978FDOQ4644978
Authors: M. Ivette Gomes, Lígia Henriques-Rodrigues 
Publication date: 9 January 2019
Published in: Recent Developments in Modeling and Applications in Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-32419-2_13
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estimationextreme value indexcontrol real parameterenvironmental data of a bootstrap algorithmextreme value index (EVI)peaks over random threshold minimum-variance reduced-bias (PORT-MVRB)PORT-MVRB estimationtuning parameter \(k\)
Point estimation (62F10) Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to environmental and related topics (62P12)
Cites Work
- A simple general approach to inference about the tail of a distribution
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- A new class of semi-parametric estimators of the second order parameter.
- Direct reduction of bias of the classical Hill estimator
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A simple second-order reduced bias’ tail index estimator
- Peaks over random threshold methodology for tail index and high quantile estimation
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Reduced-bias location-invariant extreme value index estimation: a simulation study
Cited In (6)
- Refined estimation of a light tail: an application to environmental data
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- Estimation of a scale second-order parameter related to the PORT methodology
- Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Reduced-bias location-invariant extreme value index estimation: a simulation study
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