Location invariant heavy tail index estimation with block method
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Publication:5089919
DOI10.1080/02331888.2022.2071898zbMATH Open1493.62261OpenAlexW4229448207MaRDI QIDQ5089919FDOQ5089919
Authors: Shuang Hu, Zuoxiang Peng, Saralees Nadarajah 
Publication date: 15 July 2022
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331888.2022.2071898
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.
Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)
Cites Work
- Statistics of Extremes
- Extreme value theory. An introduction.
- A simple general approach to inference about the tail of a distribution
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- A new class of semi-parametric estimators of the second order parameter.
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- A moment estimator for the index of an extreme-value distribution
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- A location invariant Hill-type estimator
- Weak properties and robustness of t-Hill estimators
- Asymptotic normality of location invariant heavy tail index estimator
- A new estimator for a tail index
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- Several modifications of DPR estimator of the tail index
- Asymptotic properties of generalized DPR statistic
- On the tail index of a heavy tailed distribution
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- Weiss-Hill estimator
- Inference for Heavy-Tailed Data Analysis
- Maximum likelihood estimators based on the block maxima method
- A horse race between the block maxima method and the peak-over-threshold approach
- Improved estimation of the extreme value index using related variables
- More on \(P\)-stable convex sets in Banach spaces
- Heavy tail index estimation based on block order statistics
Cited In (9)
- 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
- Inference of high quantiles of a heavy-tailed distribution from block data
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