A heuristic adaptive choice of the threshold for bias-corrected Hill estimators

DOI10.1080/10629360600954000MaRDI QIDQ5457930zbMATHOpenAlexFDO

Authors M. Ivette Gomes, B. Vandewalle, Clara Viseu, Ligia M. C. S. Rodrigues

Publication date 10 April 2008

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

Full work available at URL https://doi.org/10.1080/10629360600954000

zbMATH Keywords

tablesheavy tailsextreme value indexsemi-parametric estimationstatistics of extremesadaptive threshold choice

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• A general class of estimators of the extreme value index
• A simple general approach to inference about the tail of a distribution
• Adaptive estimates of parameters of regular variation
• Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
• Asymptotically unbiased estimators for the extreme-value index
• Bias reduction and explicit semi-parametric estimation of the tail index
• Bias reduction of a tail index estimator through an external estimation of the second-order parameter
• Comparison of tail index estimators
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Statistics of Extremes
• Tail index estimation and an exponential regression model
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter

Cited in

(16)

• Improving the traditional Hill estimator in threshold selection in extreme value theory
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• A diagnostic for selecting the threshold in extreme value analysis
• Adaptive estimation of heavy right tails: resampling-based methods in action
• PORT Hill and Moment Estimators for Heavy-Tailed Models
• Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
• Improving second order reduced bias extreme value index estimation
• Improved reduced-bias tail index and quantile estimators
• Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
• Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
• Using shrinkage estimators to reduce bias and MSE in estimation of heavy tails
• On uniform confidence intervals for the tail index and the extreme quantile
• Improved estimation of the extreme value index using related variables
• A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator

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