Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model

DOI10.1080/00949655.2014.975707OpenAlexW2041330123MaRDI QIDQ5222295FDOQ5222295

Authors: Frederico Caeiro, M. Ivette Gomes 

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2014.975707

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zbMATH Keywords

heavy tailsbias reductionsemi-parametric estimationsecond-order parameter

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
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• Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
• Reduced-bias location-invariant extreme value index estimation: a simulation study
• Revisiting the maximum likelihood estimation of a positive extreme value index
• A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation

Cited In (7)

• Bias reduction of a tail index estimator through an external estimation of the second-order parameter
• Refined estimation of a light tail: an application to environmental data
• A semi-parametric estimator of a shape second-order parameter
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• A bias-reduced estimator for the mean of a heavy-tailed distribution with an infinite second moment
• Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
• Title not available (Why is that?)

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