Location invariant heavy tail index estimation with block method
From MaRDI portal
Publication:5089919
Recommendations
- Asymptotic normality of location invariant heavy tail index estimator
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- A new kind of location invariant extreme value index estimator
- A location invariant moment-type estimator. II.
- A location invariant moment-type estimator. I.
Cites work
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- A horse race between the block maxima method and the peak-over-threshold approach
- A location invariant Hill-type estimator
- A moment estimator for the index of an extreme-value distribution
- A new class of semi-parametric estimators of the second order parameter.
- A new estimator for a tail index
- A simple general approach to inference about the tail of a distribution
- Asymptotic normality of location invariant heavy tail index estimator
- Asymptotic properties of generalized DPR statistic
- Extreme value theory. An introduction.
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Heavy tail index estimation based on block order statistics
- Improved estimation of the extreme value index using related variables
- Inference for Heavy-Tailed Data Analysis
- Maximum likelihood estimators based on the block maxima method
- More on \(P\)-stable convex sets in Banach spaces
- On the tail index of a heavy tailed distribution
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- Several modifications of DPR estimator of the tail index
- Statistics of Extremes
- Weak properties and robustness of t-Hill estimators
- Weiss-Hill estimator
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
Cited in
(9)- Inference of high quantiles of a heavy-tailed distribution from block data
- A location invariant moment-type estimator. II.
- Improvements in the estimation of a heavy tail
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- A new kind of location invariant extreme value index estimator
- Local-maximum-based tail index estimator
- Location invariant Weiss-Hill estimator
- SHIFTED HILL'S ESTIMATOR FOR HEAVY TAILS
- Moment-based tail index estimation
This page was built for publication: Location invariant heavy tail index estimation with block method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5089919)
