A simple second-order reduced bias’ tail index estimator

DOI10.1080/10629360500282239zbMath1123.62035OpenAlexW1991728224MaRDI QIDQ5425738

M. Ivette Gomes, Dinis Pestana

Publication date: 14 November 2007

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

Full work available at URL: https://doi.org/10.1080/10629360500282239

zbMATH Keywords

tablesheavy tailsbias estimationstatistics of extremesHill's estimatorsemi-parametric estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (25)

Bias correction in extreme value statistics with index around zero ⋮ New Reduced-bias Estimators of a Positive Extreme Value Index ⋮ Adapting the Hill estimator to distributed inference: dealing with the bias ⋮ Estimating the conditional tail expectation in the case of heavy-tailed losses ⋮ Adaptive estimation of heavy right tails: resampling-based methods in action ⋮ PORT Hill and Moment Estimators for Heavy-Tailed Models ⋮ An estimator of heavy tail index through the generalized jackknife methodology ⋮ A new class of estimators of a ``scale second order parameter ⋮ ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION ⋮ An enhanced method for tail index estimation under missingness ⋮ Adaptive PORT-MVRB Estimation of the Extreme Value Index ⋮ Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study ⋮ Improved reduced-bias tail index and quantile estimators ⋮ Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling ⋮ Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses ⋮ A simple generalisation of the Hill estimator ⋮ Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions ⋮ Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold ⋮ A location-invariant probability weighted moment estimation of the Extreme Value Index ⋮ Reduced-Bias Tail Index Estimators Under a Third-Order Framework ⋮ Subsampling techniques and the jackknife methodology in the estimation of the extremal index ⋮ Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology ⋮ Estimation of Extreme Conditional Quantiles Through Power Transformation ⋮ Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms ⋮ A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation

Cites Work

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• 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
• Semi-parametric estimation of the second order parameter in statistics of extremes
• Tail index estimation and an exponential regression model
• A class of asymptotically unbiased semi-parametric estimators of the tail index.
• Bias reduction and explicit semi-parametric estimation of the tail index
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Approximation by penultimate extreme value distributions
• Penultimate limiting forms in extreme value theory
• Comparison of tail index estimators
• Bias reduction of a tail index estimator through an external estimation of the second-order parameter
• Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology

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