Peaks over random threshold methodology for tail index and high quantile estimation

zbMATH Open1125.62047MaRDI QIDQ5429809FDOQ5429809

Authors: Paulo Araújo Santos, M. Isabel Fraga Alves, M. Ivette Gomes 

Publication date: 4 December 2007

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zbMATH Keywords

heavy tailssemi-parametric estimationhigh quantileslinear propertysample of excesses

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

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
• PORT Hill and Moment Estimators for Heavy-Tailed Models
• Estimation of a scale second-order parameter related to the PORT methodology
• 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
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• A simple generalisation of the Hill estimator
• Location invariant Weiss-Hill estimator
• A class of location invariant estimators for heavy tailed distributions
• Extreme Quantile Estimation Based on the Tail Single-index Model
• A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
• 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
• Semi-parametric probability-weighted moments estimation revisited
• Mixed moment estimator and location invariant alternatives
• A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators

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