Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index

DOI10.1080/03610926.2011.564738MaRDI QIDQ4648648zbMATH OpenOpenAlexFDO

Authors Yuri Goegebeur, Tertius de Wet

Publication date 12 November 2012

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.564738

zbMATH Keywords

regressionkernel estimatorPareto-type distributionbias-correctionsecond-order parameter

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30)

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Cites work

• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
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• Tail index estimation and an exponential regression model
• Tail index regression
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter

Cited in

(5)

• Kernel estimators for the second order parameter in extreme value statistics
• Nonparametric regression estimation of conditional tails: the random covariate case
• Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
• Asymptotically unbiased estimation of the second order tail parameter
• On kernel estimation of the second order rate parameter in multivariate extreme value statistics

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