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

bias-correctionkernel estimatorPareto-type distributionregressionsecond-order parameter

Mathematics Subject Classification ID

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

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Cites work

• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• A general class of estimators of the extreme value index
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• Estimating a tail exponent by modelling departure from a Pareto distribution
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• Extreme value theory. An introduction.
• Functional nonparametric estimation of conditional extreme quantiles
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• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
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• Statistics of Extremes
• Sur la distribution limite du terme maximum d'une série aléatoire
• Tail index estimation and an exponential regression model
• Tail index regression

Cited in

(5)

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

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