A semi-parametric estimator of a shape second-order parameter

DOI10.1007/978-3-319-05323-3_13zbMATH Open1328.62197OpenAlexW2213216414MaRDI QIDQ5261871FDOQ5261871

M. Ivette Gomes, Frederico Caeiro

Publication date: 8 July 2015

Published in: New Advances in Statistical Modeling and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-05323-3_13

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Mathematics Subject Classification ID

Nonparametric estimation (62G05) Extreme value theory; extremal stochastic processes (60G70)

Cited In (9)

• Threshold selection in univariate extreme value analysis
• A new class of semi-parametric estimators of the second order parameter.
• A Log Probability Weighted Moment Estimator of Extreme Quantiles
• A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• A simple generalisation of the Hill estimator
• Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
• Revisiting the maximum likelihood estimation of a positive extreme value index
• A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators

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