On the estimation of the second order parameter for heavy-tailed distributions
zbMATH Open1314.62117MaRDI QIDQ5255147FDOQ5255147
Authors: El Hadji Dème, Laurent Gardes, Stéphane Girard 
Publication date: 12 June 2015
Full work available at URL: https://www.ine.pt/revstat/pdf/rs130303.pdf
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asymptotic propertiesheavy-tailed distributionextreme-value indexextreme-value theorysecond order parameter
Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)
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- Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
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- Revisiting the maximum likelihood estimation of a positive extreme value index
- Reduced-bias estimator of the ruin probability in infinite time for heavy-tailed distributions with index in the upper half of the unit interval
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