Corrected-Hill versus partially reduced-bias value-at-risk estimation

DOI10.1080/03610918.2018.1489053MaRDI QIDQ5088009zbMATH OpenOpenAlexWikidataFDO

Authors M. Ivette Gomes, Frederico Caeiro, Fernanda Figueiredo, Lgia Henriques-Rodrigues, Dinis Pestana

Publication date 4 July 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2018.1489053

zbMATH Keywords

heavy right tailsheuristic sample fraction selectionMonte-Carlo simulationsemi-parametric estimationstatistics of extremesvalue-at-risk estimation

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Cites work

• A class of new tail index estimators
• A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
• A simple general approach to inference about the tail of a distribution
• A simple generalisation of the Hill estimator
• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• Adaptive estimates of parameters of regular variation
• Adaptive estimation of heavy right tails: resampling-based methods in action
• Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
• Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
• An overview and open research topics in statistics of univariate extremes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bias reduction in risk modelling: semi-parametric quantile estimation
• Comparison of tail index estimators
• Direct reduction of bias of the classical Hill estimator
• Efficiency of partially reduced-bias mean-of-order-\(p\) versus minimum-variance reduced-bias extreme value index estimation
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Extreme quantile estimation for dependent data, with applications to finance
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Extreme value theory. An introduction.
• scientific article; zbMATH DE number 3824949 (Why is no real title available?)
• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• scientific article; zbMATH DE number 1944037 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• Mean-of-order p reduced-bias extreme value index estimation under a third-order framework
• Mixed moment estimator and location invariant alternatives
• Modeling extreme events: sample fraction adaptive choice in parameter estimation
• New Reduced-bias Estimators of a Positive Extreme Value Index
• On an improvement of Hill and some other estimators
• On Smooth Statistical Tail Functionals
• Regularly varying functions
• Resampling methodologies and reliable tail estimation
• Semi-parametric second-order reduced-bias high quantile estimation
• Statistics of heteroscedastic extremes
• Sur la distribution limite du terme maximum d'une série aléatoire
• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
• The harmonic moment tail index estimator: asymptotic distribution and robustness

Cited in

(3)

• Quantifying and Correcting the Bias in Estimated Risk Measures
• A refined Weissman estimator for extreme quantiles
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements

This page was built for publication: Corrected-Hill versus partially reduced-bias value-at-risk estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5088009)