Tail inference: where does the tail begin?

DOI10.1007/s10687-011-0145-7zbMath1329.62235OpenAlexW1974585154MaRDI QIDQ907362

Gennady Samorodnitsky, Tilo Nguyen

Publication date: 25 January 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/22505

zbMATH Keywords

spectral measureHill estimatorextremestail estimationtail region

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items

Multivariate Hill Estimators, Estimates of System Response Maxima by Extreme Value Theory and Surrogate Models, MULTIVARIATE TAIL ESTIMATION WITH APPLICATION TO ANALYSIS OF COVAR, Microstructure Models and Material Response by Extreme Value Theory, Multiple thresholds in extremal parameter estimation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
• On the estimation of the extreme-value index and large quantile estimation
• A moment estimator for the index of an extreme-value distribution
• Adaptive estimates of parameters of regular variation
• Laws of large numbers for sums of extreme values
• On tail index estimation using dependent data
• A simple general approach to inference about the tail of a distribution
• Tail index estimation for dependent data
• Selecting the optimal sample fraction in univariate extreme value estimation
• Semi-parametric approach to the Hasofer-Wang and Greenwood statistics in extremes
• Stochastic-Process Limits
• Almost sure convergence of the Hill estimator
• Smoothing the Hill Estimator
• Consistency of Hill's estimator for dependent data
• Selection of the K Largest Order Statistics for the Domain of Attraction of the Gumbel Distribution
• Heavy-Tail Phenomena
• Goodness of Fit Tests for the Gamma and Exponential Distributions
• Using a bootstrap method to choose the sample fraction in tail index estimation