Semi-parametric estimation for heavy tailed distributions
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Publication:650683
DOI10.1007/S10687-009-0086-6zbMATH Open1226.62053OpenAlexW2008644389MaRDI QIDQ650683FDOQ650683
Cecile Mercadier, Gabriela Ciuperca
Publication date: 26 November 2011
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-009-0086-6
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asymptotic propertiesextreme value indexHill estimatorsemi-parametric estimationsecond order parameter
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)
Cites Work
- Extreme value theory. An introduction.
- Excess functions and estimation of the extreme-value index
- Adaptive estimates of parameters of regular variation
- A simple general approach to inference about the tail of a distribution
- Optimal choice of sample fraction in extreme-value estimation
- On exponential representations of log-spacings of extreme order statistics
- Semi-parametric estimation of the second order parameter in statistics of extremes
- A new class of semi-parametric estimators of the second order parameter.
- Selecting the optimal sample fraction in univariate extreme value estimation
- Reduced‐bias tail index estimation and the jackknife methodology
- Title not available (Why is that?)
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Kernel estimates of the tail index of a distribution
- On Smooth Statistical Tail Functionals
- Asymptotic Distribution of Linear Combinations of Functions of Order Statistics with Applications to Estimation
- A bootstrap-based method to achieve optimality in estimating the extreme-value index
- Residual estimators
- Weighted least squares estimation of the extreme value index
- The qq-estimator and heavy tails
- Title not available (Why is that?)
- A new extreme quantile estimator for heavy-tailed distributions
Cited In (46)
- Kernel estimators for the second order parameter in extreme value statistics
- Nonparametric regression estimation of conditional tails: the random covariate case
- Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study
- مدل رگرسیون نیمهپارامتری مکان-مقیاس با دمهای نیمهسنگین بر اساس توزیع هایپربولیک سکانت
- Robust and bias-corrected estimation of the coefficient of tail dependence
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- Semi-parametric estimation of the second order parameter in statistics of extremes
- A Log Probability Weighted Moment Estimator of Extreme Quantiles
- A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
- Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
- Weighted least squares estimators for the Parzen tail index
- Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions
- Robust and bias-corrected estimation of the probability of extreme failure sets
- Estimation problems for distributions with heavy tails
- Bias correction in multivariate extremes
- Tail product-limit process for truncated data with application to extreme value index estimation
- Kernel estimation of the tail index of a right-truncated Pareto-type distribution
- New Reduced-bias Estimators of a Positive Extreme Value Index
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- A refined Weissman estimator for extreme quantiles
- Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology
- Estimation of the third-order parameter in extreme value statistics
- Semi-parametric tail inference through probability-weighted moments
- A review of more than one hundred Pareto-tail index estimators
- A simple generalisation of the Hill estimator
- Estimating the conditional tail index by integrating a kernel conditional quantile estimator
- Weighted moment estimators for the second order scale parameter
- Limit laws for the norms of extremal samples
- Local Estimation of the Second-Order Parameter in Extreme Value Statistics and Local Unbiased Estimation of the Tail Index
- Adaptive estimation of heavy right tails: resampling-based methods in action
- Title not available (Why is that?)
- Semiparametric estimation of extremes
- Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
- Generalized Kernel Estimators for the Weibull-Tail Coefficient
- Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
- Asymptotic distributions for weighted power sums of extreme values
- Estimation of distribution tails —a semiparametric approach
- Asymptotically unbiased estimation of the second order tail parameter
- Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data
- A Test for Comparing Tail Indices for Heavy-Tailed Distributions via Empirical Likelihood
- On kernel estimation of the second order rate parameter in multivariate extreme value statistics
- Revisiting the maximum likelihood estimation of a positive extreme value index
- Semiparametric exponential families for heavy-tailed data
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
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