Mixed moment estimator and location invariant alternatives

DOI10.1007/s10687-008-0073-3zbMath1223.62075OpenAlexW1963608920MaRDI QIDQ626286

M. Ivette Gomes, M. Isabel Fraga Alves, 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

zbMATH Keywords

extreme value indexstatistics of extremessemi-parametric estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (27)

Heavy tail index estimation based on block order statistics ⋮ A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators ⋮ Competitive estimation of the extreme value index ⋮ Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework ⋮ A local moment type estimator for the extreme value index in regression with random covariates ⋮ On the comparison of several classical estimators of the extreme value index ⋮ Corrected-Hill versus partially reduced-bias value-at-risk estimation ⋮ On an improvement of Hill and some other estimators ⋮ The estimation of parameters for the tapered Pareto distribution from incomplete data ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ An interview with Ivette Gomes ⋮ Multivariate moment based extreme value index estimators ⋮ Location invariant Weiss-Hill estimator ⋮ Unnamed Item ⋮ Asymptotic normality of location invariant heavy tail index estimator ⋮ On agricultural commodities' extreme price risk ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ A comparative study of the adaptive choice of thresholds in extreme hydrologic events ⋮ Extreme value index estimator using maximum likelihood and moment estimation ⋮ Strong convergence bound of the Pareto index estimator under right censoring ⋮ Conditions based on conditional moments for max-stable limit laws ⋮ The Latest Advances on the Hill Estimator and Its Modifications ⋮ A simple generalisation of the Hill estimator ⋮ Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions ⋮ A location-invariant probability weighted moment estimation of the Extreme Value Index ⋮ Reduced-Bias Tail Index Estimators Under a Third-Order Framework ⋮ A class of location invariant estimators for heavy tailed distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation of the extreme-value index and generalized quantile plots
• A moment estimator for the index of an extreme-value distribution
• Estimating tails of probability distributions
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Excess functions and estimation of the extreme-value index
• On maximum likelihood estimation of the extreme value index.
• PORT Hill and Moment Estimators for Heavy-Tailed Models
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• On Smooth Statistical Tail Functionals
• On optimising the estimation of high quantiles of a probability distribution
• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• A bootstrap-based method to achieve optimality in estimating the extreme-value index

This page was built for publication: Mixed moment estimator and location invariant alternatives