Asymptotic normality of location invariant heavy tail index estimator
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Publication:650731
DOI10.1007/S10687-009-0088-4zbMATH Open1329.62232OpenAlexW2044755633MaRDI QIDQ650731FDOQ650731
Authors: Jiaona Li, Zuoxiang Peng, Saralees Nadarajah 
Publication date: 27 November 2011
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-009-0088-4
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Cites Work
- Extreme value theory. An introduction.
- A simple general approach to inference about the tail of a distribution
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- 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.
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- Comparison of tail index estimators
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Mixed moment estimator and location invariant alternatives
- A moment estimator for the index of an extreme-value distribution
- A guide to the Burr type XII distributions
- Confidence regions for high quantiles of a heavy tailed distribution
- Residual estimators
- Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
- Bias reduction and explicit semi-parametric estimation of the tail index
- A location invariant Hill-type estimator
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- A class of asymptotically unbiased semi-parametric estimators of the tail index.
- A Look at the Burr and Related Distributions
- Asymptotically unbiased estimators for the extreme-value index
- A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX
- Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
- A location invariant moment-type estimator. I.
- A location invariant moment-type estimator. II.
Cited In (16)
- Location invariant heavy tail index estimation with block method
- A location invariant moment-type estimator. II.
- Improvements in the estimation of a heavy tail
- Strong convergence bound of the Pareto index estimator under right censoring
- A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
- A new kind of location invariant extreme value index estimator
- Asymptotic results for conditional measures of association of a random sum
- Heavy tail index estimation based on block order statistics
- Asymptotic normality of least-squares estimators of tail indices
- Location invariant Weiss-Hill estimator
- Weak properties and robustness of t-Hill estimators
- Title not available (Why is that?)
- SHIFTED HILL'S ESTIMATOR FOR HEAVY TAILS
- A class of new tail index estimators
- An estimator of heavy tail index through the generalized jackknife methodology
- The harmonic moment tail index estimator: asymptotic distribution and robustness
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