A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
DOI10.1080/10629360600954000zbMATH Open1136.62346OpenAlexW2147653081MaRDI QIDQ5457930FDOQ5457930
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
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Cites Work
- Statistics of Extremes
- Adaptive estimates of parameters of regular variation
- A simple general approach to inference about the tail of a distribution
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- Tail index estimation and an exponential regression model
- Title not available (Why is that?)
- Comparison of tail index estimators
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
- A general class of estimators of the extreme value index
- Bias reduction and explicit semi-parametric estimation of the tail index
- Asymptotically unbiased estimators for the extreme-value index
- Bias reduction of a tail index estimator through an external estimation of the second-order parameter
Cited In (13)
- A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Improving second order reduced bias extreme value index estimation
- 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
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Improved reduced-bias tail index and quantile estimators
- A diagnostic for selecting the threshold in extreme value analysis
- Improving the traditional Hill estimator in threshold selection in extreme value theory
- 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
- On uniform confidence intervals for the tail index and the extreme quantile
- Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
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