Best attainable rates of convergence for estimates of parameters of regular variation

Cited In (36)

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

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