Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
DOI10.1080/03610926.2011.564738zbMATH Open1284.62299OpenAlexW2000561262MaRDI QIDQ4648648FDOQ4648648
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
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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)
Cites Work
- Statistics of Extremes
- Extreme value theory. An introduction.
- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- On exponential representations of log-spacings of extreme order statistics
- Semi-parametric estimation of the second order parameter in statistics of extremes
- Tail index estimation and an exponential regression model
- Sur la distribution limite du terme maximum d'une série aléatoire
- Reduced‐bias tail index estimation and the jackknife methodology
- Title not available (Why is that?)
- Semi-parametric estimation for heavy tailed distributions
- Kernel estimators for the second order parameter in extreme value statistics
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Local Likelihood Smoothing of Sample Extremes
- Functional nonparametric estimation of conditional extreme quantiles
- A general class of estimators of the extreme value index
- Bias reduction and explicit semi-parametric estimation of the tail index
- Tail index regression
- A moving window approach for nonparametric estimation of the conditional tail index
- Generalized Additive Modelling of Sample Extremes
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Regression with response distributions of Pareto-type
- Local polynomial maximum likelihood estimation for Pareto-type distributions.
- Penalized likelihood inference in extreme value analyses
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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