A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator

DOI10.1198/016214506000000799zbMATH Open1284.62300OpenAlexW1971153697MaRDI QIDQ5307705FDOQ5307705

Publication date: 18 September 2007

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214506000000799

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Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Cited In (59)

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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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Realised quantile-based estimation of the integrated variance
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A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
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Bias correction in extreme value statistics with index around zero
Uniform in bandwidth consistency of kernel estimators of the tail index
Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
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The Latest Advances on the Hill Estimator and Its Modifications
Reduced-Bias Tail Index Estimators Under a Third-Order Framework
EVT-based estimation of risk capital and convergence of high quantiles
Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
Estimation of Extreme Conditional Quantiles Through Power Transformation
Adaptive PORT-MVRB Estimation of the Extreme Value Index
A refined Weissman estimator for extreme quantiles
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ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS
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An interview with Ivette Gomes
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Extreme Value Theory and Statistics of Univariate Extremes: A Review
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Adaptive estimation of heavy right tails: resampling-based methods in action
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Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
Mean-of-order $p$ reduced-bias extreme value index estimation under a third-order framework
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A practical method for analysing heavy tailed data
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Subsampling techniques and the jackknife methodology in the estimation of the extremal index
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On the comparison of several classical estimators of the extreme value index
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Inference for extremal regression with dependent heavy-tailed data
The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
Wavelet variances for heavy-tailed time series
Estimation of extreme quantiles from heavy-tailed distributions with neural networks
Estimation of the conditional tail moment for Weibull-type distributions
Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
On uniform confidence intervals for the tail index and the extreme quantile
Deterministic computation of quantiles in a Lipschitz framework

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