Using shrinkage estimators to reduce bias and MSE in estimation of heavy tails

MaRDI QIDQ5205512zbMATH OpenFDO

Authors J. Beirlant, G. Maribe, Andréhette Verster

Publication date 12 December 2019

Full work available at URL https://www.ine.pt/revstat/pdf/REVSTAT_v17-n1-5.pdf

zbMATH Keywords

extended Pareto distributionextreme value indexshrinkage estimatorstail estimation

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited in

(2)

• Penalized bias reduction in extreme value estimation for censored Pareto-type data, and long-tailed insurance applications
• Ridge regression estimators for the extreme value index

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