Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution

From MaRDI portal
Publication:4669476

DOI10.1111/j.1467-842X.2004.00331.xzbMath1061.62078OpenAlexW2168923326MaRDI QIDQ4669476

Yongcheng Qi, Liang Peng

Publication date: 15 April 2005

Published in: Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2004.00331.x




Related Items (18)

Tail product-limit process for truncated data with application to extreme value index estimationSemi-parametric estimation of the quintile share ratio index of inequality measure for heavy-tailed income distributions with index in the upper half of the unit intervalEstimating the conditional tail expectation in the case of heavy-tailed lossesInference of high quantiles of a heavy-tailed distribution from block dataOn the tail index of a heavy tailed distributionBias reduction for endpoint estimationAdaptive estimation of heavy right tails: resampling-based methods in actionConfidence regions for high quantiles of a heavy tailed distributionBias reduction for high quantilesKernel-type estimator of the conditional tail expectation for a heavy-tailed distributionA practical method for analysing heavy tailed dataA note on the asymptotic variance at optimal levels of a bias-corrected Hill estimatorDoes bias reduction with external estimator of second order parameter work for endpoint?Reduced-Bias Tail Index Estimators Under a Third-Order FrameworkTail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-ExcessesSecond-order refined peaks-over-threshold modelling for heavy-tailed distributionsEstimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncationA NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX




This page was built for publication: Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution