IPO estimation of heaviness of the distribution beyond regularly varying tails

DOI10.1080/07362994.2019.1647786MaRDI QIDQ5206080zbMATH OpenOpenAlexWikidataFDO

Authors Pavlina Jordanova, M. Stehlík

Publication date 18 December 2019

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2019.1647786

zbMATH Keywords

simulationextreme quantilestail inferenceinverse probabilities for \(p\)-outside values estimation method, index of regular variationIPO estimationnonparametric estimation, point estimators

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

Recommendations

• scientific article; zbMATH DE number 3921736
• Inferences on parametric estimation of distribution tails
• Semi-parametric estimation for heavy tailed distributions
• Estimation problems for distributions with heavy tails
• A simple robust estimation method for the thickness of heavy tails

Cites work

• scientific article; zbMATH DE number 3913447 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 3637090 (Why is no real title available?)
• scientific article; zbMATH DE number 627762 (Why is no real title available?)
• scientific article; zbMATH DE number 1026035 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 2118489 (Why is no real title available?)
• scientific article; zbMATH DE number 6751368 (Why is no real title available?)
• scientific article; zbMATH DE number 3104450 (Why is no real title available?)
• A Bayesian approach to some outlier problems
• A class of new tail index estimators
• A location invariant Hill-type estimator
• A moment estimator for the index of an extreme-value distribution
• A note on entropies of l-max stable, p-max stable, generalized Pareto and generalized log-Pareto distributions
• A procedure for outlier identification in data sets from continuous distributions
• A simple general approach to inference about the tail of a distribution
• A simple generalisation of the Hill estimator
• An ergodic theorem for proportions of observations that fall into random sets determined by sample quantiles
• BETA-NORMAL DISTRIBUTION AND ITS APPLICATIONS
• Estimating extreme quantiles under random truncation
• Extreme value theory. An introduction.
• Generalized beta-generated distributions
• Inference for quantile measures of skewness
• Limit theorems for proportions of observations falling into random regions determined by order statistics
• Mean-of-order p reduced-bias extreme value index estimation under a third-order framework
• Nonparametric Statistical Data Modeling
• On Some Useful "Inefficient" Statistics
• On ecological aspects of dynamics for zero slope regression for water pollution in Chile
• On the favorable estimation for fitting heavy tailed data
• Order statistics
• Pareto distributions
• Quantile-based reliability analysis
• Quasi-Ranges of Samples from an Exponential Population
• Simplified Estimates for the Exponential Distribution
• Some Uses of Quasi-Ranges
• Statistical inference using extreme order statistics
• The Distribution of Quasi-Ranges in Samples From a Normal Population
• The harmonic moment tail index estimator: asymptotic distribution and robustness
• Weak asymptotic results for t-Hill estimator
• Weak properties and robustness of t-Hill estimators

Cited in

(3)

• Detection and handling outliers in longitudinal data: wavelets decomposition as a solution
• Two-sided distributions with applications in insurance loss modeling
• A novel M-Lognormal–Burr regression model with varying threshold for modeling heavy-tailed claim severity data

This page was built for publication: IPO estimation of heaviness of the distribution beyond regularly varying tails

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5206080)