Bias reduced peaks over threshold tail estimation

DOI10.57805/REVSTAT.V20I3.372MaRDI QIDQ5866616zbMATH OpenFDO

Authors J. Beirlant, G. Maribe, Philippe Naveau, Andréhette Verster

Publication date 22 September 2022

Full work available at URL https://arxiv.org/abs/1810.01296

zbMATH Keywords

generalized Pareto distributionmixture modelspeaks over thresholdtail estimation

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• A simple general approach to inference about the tail of a distribution
• Application of Bernstein polynomials for smooth estimation of a distribution and density function
• Asymptotically unbiased estimators for the extreme-value index
• Direct reduction of bias of the classical Hill estimator
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Estimation of the extreme-value index and generalized quantile plots
• Exceedances over high thresholds: a guide to threshold selection
• Extended generalised Pareto models for tail estimation
• Extreme value theory. An introduction.
• Limits to human life span through extreme value theory
• On exponential representations of log-spacings of extreme order statistics
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Refined pickands estimators wtth bias correction
• Reinsurance. Actuarial and statistical aspects
• Ridge regression estimators for the extreme value index
• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
• Statistics of Extremes
• Tail index estimation and an exponential regression model

Cited in

(5)

• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
• Bias free threshold estimation for jump intensity function
• scientific article; zbMATH DE number 6383001 (Why is no real title available?)
• Bias reduced tail estimation for censored Pareto type distributions
• Bias reduction for high quantiles

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