The MOP EVI-Estimator Revisited
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Publication:5261872
DOI10.1007/978-3-319-05323-3_16zbMATH Open1320.62109OpenAlexW174523100MaRDI QIDQ5261872FDOQ5261872
M. Ivette Gomes, Dinis Pestana, M. Fátima Brilhante
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_16
Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09) Statistics of extreme values; tail inference (62G32)
Cites Work
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- A simple general approach to inference about the tail of a distribution
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- A new class of semi-parametric estimators of the second order parameter.
- Sur la distribution limite du terme maximum d'une série aléatoire
- Comparison of tail index estimators
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
Cited In (8)
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- New Reduced-bias Estimators of a Positive Extreme Value Index
- Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
- Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
- A review of more than one hundred Pareto-tail index estimators
- A simple generalisation of the Hill estimator
- Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
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