Mixed moment estimator and location invariant alternatives
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Publication:626286
DOI10.1007/S10687-008-0073-3zbMATH Open1223.62075OpenAlexW1963608920MaRDI QIDQ626286FDOQ626286
Authors: M. Isabel Fraga Alves, M. Ivette Gomes, Cláudia Neves, Laurens De Haan 
Publication date: 22 February 2011
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-008-0073-3
Recommendations
Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Statistics of extreme values; tail inference (62G32)
Cites Work
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Cited In (32)
- A location-invariant probability weighted moment estimation of the Extreme Value Index
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
- A local moment type estimator for the extreme value index in regression with random covariates
- A location invariant moment-type estimator. I.
- Multivariate moment based extreme value index estimators
- A comparative study of the adaptive choice of thresholds in extreme hydrologic events
- The latest advances on the Hill estimator and its modifications
- On agricultural commodities' extreme price risk
- Strong convergence bound of the Pareto index estimator under right censoring
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- Conditions based on conditional moments for max-stable limit laws
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
- Competitive estimation of the extreme value index
- Title not available (Why is that?)
- A review of more than one hundred Pareto-tail index estimators
- An interview with Ivette Gomes
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- A simple generalisation of the Hill estimator
- Heavy tail index estimation based on block order statistics
- Location invariant Weiss-Hill estimator
- The estimation of parameters for the tapered Pareto distribution from incomplete data
- Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
- On an improvement of Hill and some other estimators
- A new class of estimators for extreme value index
- Asymptotic normality of location invariant heavy tail index estimator
- A class of location invariant estimators for heavy tailed distributions
- Tail risk driven by investment losses and exogenous shocks
- Extreme value index estimator using maximum likelihood and moment estimation
- On the comparison of several classical estimators of the extreme value index
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
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