Peaks over random threshold methodology for tail index and high quantile estimation
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Publication:5429809
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Cited in
(27)- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- A modeler's guide to extreme value software
- Estimation of a scale second-order parameter related to the PORT methodology
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- The latest advances on the Hill estimator and its modifications
- Tail dimension reduction for extreme quantile estimation
- On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- Competitive estimation of the extreme value index
- Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation
- Semi-parametric tail inference through probability-weighted moments
- Reduced bias estimation of the shape parameter of the log-logistic distribution
- A review of more than one hundred Pareto-tail index estimators
- A simple generalisation of the Hill estimator
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Location invariant Weiss-Hill estimator
- A class of location invariant estimators for heavy tailed distributions
- A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
- Extreme Quantile Estimation Based on the Tail Single-index Model
- Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
- Adaptive PORT-MVRB estimation of the extreme value index
- A note on the port methodology in the estimation of a shape second-order parameter
- Mixed moment estimator and location invariant alternatives
- Semi-parametric probability-weighted moments estimation revisited
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
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