Mixed moment estimator and location invariant alternatives
From MaRDI portal
(Redirected from Publication:626286)
Recommendations
Cites work
- scientific article; zbMATH DE number 3903649 (Why is no real title available?)
- scientific article; zbMATH DE number 4012931 (Why is no real title available?)
- scientific article; zbMATH DE number 3638844 (Why is no real title available?)
- scientific article; zbMATH DE number 3359478 (Why is no real title available?)
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- A bootstrap-based method to achieve optimality in estimating the extreme-value index
- A moment estimator for the index of an extreme-value distribution
- A note on second order conditions in extreme value theory: linking general and heavy tail conditions
- A simple general approach to inference about the tail of a distribution
- Direct reduction of bias of the classical Hill estimator
- Estimating tails of probability distributions
- Estimation of the extreme-value index and generalized quantile plots
- Excess functions and estimation of the extreme-value index
- Extreme value theory. An introduction.
- Improving second order reduced bias extreme value index estimation
- On Smooth Statistical Tail Functionals
- On maximum likelihood estimation of the extreme value index.
- On optimising the estimation of high quantiles of a probability distribution
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
- Peaks over random threshold methodology for tail index and high quantile estimation
- Statistical inference using extreme order statistics
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
Cited in
(32)- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- A location invariant moment-type estimator. I.
- scientific article; zbMATH DE number 7387529 (Why is no real title available?)
- Multivariate moment based extreme value index estimators
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- A review of more than one hundred Pareto-tail index estimators
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Location invariant Weiss-Hill estimator
- A class of location invariant estimators for heavy tailed distributions
- Extreme value index estimator using maximum likelihood and moment estimation
- On agricultural commodities' extreme price risk
- Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
- Strong convergence bound of the Pareto index estimator under right censoring
- A comparative study of the adaptive choice of thresholds in extreme hydrologic events
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- On the comparison of several classical estimators of the extreme value index
- A simple generalisation of the Hill estimator
- An interview with Ivette Gomes
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- Asymptotic normality of location invariant heavy tail index estimator
- Heavy tail index estimation based on block order statistics
- Competitive estimation of the extreme value index
- On an improvement of Hill and some other estimators
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- Conditions based on conditional moments for max-stable limit laws
- A new class of estimators for extreme value index
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- The estimation of parameters for the tapered Pareto distribution from incomplete data
- The latest advances on the Hill estimator and its modifications
- A local moment type estimator for the extreme value index in regression with random covariates
- Tail risk driven by investment losses and exogenous shocks
This page was built for publication: Mixed moment estimator and location invariant alternatives
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q626286)
