A note on the port methodology in the estimation of a shape second-order parameter

DOI10.1007/978-3-642-32419-2_14MaRDI QIDQ4644979zbMATH OpenOpenAlexFDO

Authors

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_14

zbMATH Keywords

estimatorspeaks over random thresholdsheavy right tailssecond-order parametersemiparametric framework

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70)

Recommendations

• PORT-estimation of a shape second-order parameter
• Estimation of a scale second-order parameter related to the PORT methodology
• A semi-parametric estimator of a shape second-order parameter
• A new class of semi-parametric estimators of the second order parameter.
• PORT Hill and Moment Estimators for Heavy-Tailed Models

Cites work

• scientific article; zbMATH DE number 1667428 (Why is no real title available?)
• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• A new class of estimators of a ``scale second order parameter
• A new class of semi-parametric estimators of the second order parameter.
• High quantile estimation and the PORT methodology
• PORT Hill and Moment Estimators for Heavy-Tailed Models
• Peaks over random threshold methodology for tail index and high quantile estimation
• Reduced-bias location-invariant extreme value index estimation: a simulation study
• Semi-parametric estimation of the second order parameter in statistics of extremes
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions

Cited in

(4)

• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• A semi-parametric estimator of a shape second-order parameter
• Estimation of a scale second-order parameter related to the PORT methodology
• PORT-estimation of a shape second-order parameter

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