Adaptive PORT-MVRB estimation of the extreme value index

DOI10.1007/978-3-642-32419-2_13MaRDI QIDQ4644978zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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 \(k\)

Mathematics Subject Classification ID

Point estimation (62F10) Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to environmental and related topics (62P12)

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Cites work

• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• A new class of semi-parametric estimators of the second order parameter.
• A simple general approach to inference about the tail of a distribution
• A simple second-order reduced bias’ tail index estimator
• Direct reduction of bias of the classical Hill estimator
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• PORT Hill and Moment Estimators for Heavy-Tailed Models
• Peaks over random threshold methodology for tail index and high quantile estimation
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Reduced-bias location-invariant extreme value index estimation: a simulation study
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
• 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

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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