Best attainable rates of convergence for estimates of parameters of regular variation
From MaRDI portal
Publication:794093
DOI10.1214/aos/1176346723zbMath0539.62048OpenAlexW1971719924MaRDI QIDQ794093
Publication date: 1984
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176346723
Related Items
Estimation of the tail parameter in the domain of attraction of an extremal distribution, When are intermediate processes of the same stochastic order?, Heavy-Tailed Density Estimation, The limiting distribution of extremal exchange rate returns, On tail parameter estimation in certain point process models, On robust tail index estimation for linear long-memory processes, Inference for heavy tailed distributions, A general class of estimators of the extreme value index, Tail estimation of the stable index \(\alpha\), Asymptotically efficient estimation of the index of regular variation, Best attainable rates of convergence for estimators of the stable tail dependence function, On posterior consistency of tail index for Bayesian kernel mixture models, Statistical estimate of the proportional hazard premium of loss, Bootstrapping Extreme Value Estimators, The method of moments ratio estimator for the tail shape parameter, Estimation of the survival probabilities by adjusting a Cox model to the tail, Lower bounds to the accuracy of inference on heavy tails, On the maximal life span of humans, Estimation of extreme survival probabilities with cox model, Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models, Kernel-type estimators for the extreme value index, On local uniformity for estimators and confidence limits, Adaptive semiparametric estimation of the memory parameter., Statistics of extremes by oracle estimation, Nonparametric adaptive estimation of conditional probabilities of rare events and extreme quantiles, Estimation of the memory parameter of the infinite-source Poisson process, Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach, Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data, A tail estimator for the index of the stable paretian distribution∗, Optimal rates of convergence for estimates of the extreme value index, On the impossibility of estimating densities in the extreme tail, Empirical likelihood-based inference for the difference of two location parameters using smoothed M-estimators, A horse race between the block maxima method and the peak-over-threshold approach, Minimax risk bounds in extreme value theory, Semiparametric lower bounds for tail index estimation
