Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators

DOI10.1111/J.1467-9574.2011.00495.XMaRDI QIDQ6573458FDO

Authors Frederico Caeiro, M. Ivette Gomes

Publication date 16 July 2024

Published in Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

heavy tailsbias estimationoptimal levelssemi-parametric estimationstatistics of extremes

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Probabilistic methods, stochastic differential equations (65Cxx) Statistical distribution theory (62Exx)

Cites work

• scientific article; zbMATH DE number 3824949 (Why is no real title available?)
• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• scientific article; zbMATH DE number 2171263 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 5492169 (Why is no real title available?)
• A general class of estimators of the extreme value index
• A new class of semi-parametric estimators of the second order parameter.
• A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
• A simple general approach to inference about the tail of a distribution
• A simple second-order reduced bias’ tail index estimator
• Adaptive estimates of parameters of regular variation
• Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
• Asymptotic behaviour of regular estimators
• Asymptotic comparison of the mixed moment and classical extreme value index estimators
• Asymptotically unbiased estimators for the extreme-value index
• Bias reduction and explicit semi-parametric estimation of the tail index
• Bias reduction of a tail index estimator through an external estimation of the second-order parameter
• Comparison at optimal levels of classical tail index estimators: a challenge for reduced-bias estimation?
• Comparison of tail index estimators
• Direct reduction of bias of the classical Hill estimator
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Estimating the First- and Second-Order Parameters of a Heavy-Tailed Distribution
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• Improving second order reduced bias extreme value index estimation
• Kernel estimators for the second order parameter in extreme value statistics
• Limiting forms of the frequency distribution of the largest or smallest member of a sample.
• Linking Pareto-tail kernel goodness-of-fit statistics with tail index at optimal threshold and second order estimation
• Penultimate limiting forms in extreme value theory
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Reduced‐bias tail index estimation and the jackknife methodology
• Semi-parametric estimation for heavy tailed distributions
• Semi-parametric estimation of the second order parameter in statistics of extremes
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
• Tail index estimation and an exponential regression model
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter

Cited in

(1)

• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements

This page was built for publication: Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6573458)