IPO estimation of heaviness of the distribution beyond regularly varying tails

DOI10.1080/07362994.2019.1647786zbMATH Open1443.62129OpenAlexW2973168626WikidataQ127292552 ScholiaQ127292552MaRDI QIDQ5206080FDOQ5206080

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

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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)

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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

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