Location invariant heavy tail index estimation with block method

DOI10.1080/02331888.2022.2071898MaRDI QIDQ5089919zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic normalityconsistencyHill-type estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

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Cites work

• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
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• 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
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• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
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• Inference for Heavy-Tailed Data Analysis
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• More on \(P\)-stable convex sets in Banach spaces
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• 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

Cited in

(12)

• A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
• Local-maximum-based tail index estimator
• On multivariate separating Hill estimator under estimated location and scatter
• SHIFTED HILL'S ESTIMATOR FOR HEAVY TAILS
• A location invariant moment-type estimator. II.
• A new kind of location invariant extreme value index estimator
• Improvements in the estimation of a heavy tail
• Inference of high quantiles of a heavy-tailed distribution from block data
• On the mean-field limit of diffusive games through the master equation: L^ estimates and extreme value behavior
• Heavy tail index estimation for block data
• Moment-based tail index estimation
• Location invariant Weiss-Hill estimator

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