A Note on the Port Methodology in the Estimation of a Shape Second-Order Parameter
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Publication:4644979
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
estimatorspeaks over random thresholdsheavy right tailssecond-order parametersemiparametric framework
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70)
Cites Work
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- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
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- 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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