A Note on the Port Methodology in the Estimation of a Shape Second-Order Parameter

DOI10.1007/978-3-642-32419-2_14zbMath1407.62119OpenAlexW70545680MaRDI QIDQ4644979

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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)

Cites Work

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• A moment estimator for the index of an extreme-value distribution
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
• Semi-parametric estimation of the second order parameter in statistics of extremes
• A new class of semi-parametric estimators of the second order parameter.
• A new class of estimators of a ``scale second order parameter
• Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study
• PORT Hill and Moment Estimators for Heavy-Tailed Models

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