A class of semi-parametric probability weighted moment estimators

DOI10.1007/978-3-642-32419-2_15MaRDI QIDQ4644980zbMATH OpenOpenAlexFDO

Authors Frederico Caeiro, M. Ivette Gomes

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_15

zbMATH Keywords

extreme value indexvalue-at-risksemiparametric probability weighted moment estimator

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Density estimation (62G07) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• A simple general approach to inference about the tail of a distribution
• Asymptotic behaviour of the probability-weighted moments and penultimate approximation
• Bias correction in extreme value statistics with index around zero
• Comparison of tail index estimators
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Extreme value theory. An introduction.
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Semi-parametric tail inference through probability-weighted moments

Cited in

(11)

• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• ON DERIVATION OF THE SEMI-PARAMETRIC WEIGHTED LIKELIHOOD ESTIMATOR, SPW, AND THE WEIGHTED CONDITIONAL PSEUDO LIKELIHOOD ESTIMATOR, WCPE
• Refined estimation of a light tail: an application to environmental data
• Semi-parametric estimation for heavy tailed distributions
• scientific article; zbMATH DE number 18859 (Why is no real title available?)
• A log probability weighted moment estimator of extreme quantiles
• scientific article; zbMATH DE number 5942989 (Why is no real title available?)
• Weighted KS statistics for inference on conditional moment inequalities
• Semi-parametric tail inference through probability-weighted moments
• Semi-parametric probability-weighted moments estimation revisited
• A new look at probability-weighted moments estimators

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