A moment estimator for the index of an extreme-value distribution

DOI10.1214/AOS/1176347397zbMATH Open0701.62029OpenAlexW2094528363MaRDI QIDQ914280FDOQ914280

Authors: Arnold L. M. Dekkers, John H. J. Einmahl, Laurens De Haan 

Publication date: 1989

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347397

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zbMATH Keywords

asymptotic normalityHill's estimatorquantile estimationConsistencyextreme-value distributionendpoint estimationindex of a distribution functionregularly varying tail

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30)

Cited In (only showing first 100 items - show all)

• Asymptotic properties of generalized DPR statistic
• Bias reduction of a tail index estimator through an external estimation of the second-order parameter
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
• Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
• Smooth tail-index estimation
• Modeling of censored bivariate extremal events
• Weak convergence of the empirical mean excess process with application to estimate the negative tail index
• Fitting a parametric distribution for large claims in case of censored or partitioned data
• Statistical estimate of the proportional hazard premium of loss
• An adaptive optimal estimate of the tail index for MA(1) time series
• On the study of extremes with dependent random right-censoring
• On the tail index of a heavy tailed distribution
• Regression with response distributions of Pareto-type
• Estimating the spectral measure of an extreme value distribution
• Jackknife method for intermediate quantiles
• A method of moments estimator of tail dependence in meta-elliptical models
• Tail estimation based on numbers of near \(m\)-extremes
• Generalized Pickands estimators for the extreme value index
• Refined pickands estimators wtth bias correction
• Extreme behaviour for bivariate elliptical distributions
• A class of unbiased location invariant Hill-type estimators for heavy tailed distributions
• An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
• Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
• On tail index estimation using a sample with missing observations
• It was 30 years ago today when Laurens de Haan went the multivariate way
• On a generalized Pickands estimator of the extreme value index
• Approximation to the expectation of a function of order statistics and its applications
• Conditions based on conditional moments for max-stable limit laws
• Estimation of extreme quantiles from heavy and light tailed distributions
• Asymptotically unbiased estimators for the extreme-value index
• Central limit theorems for local empirical processes near boundaries of sets
• Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death
• Estimating L-functionals for heavy-tailed distributions and application
• On the estimation of extreme directional multivariate quantiles
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• Asymptotic Normality of Extreme Quantile Estimators Based on the Peaks-Over-Threshold Approach
• Optimal rates of convergence for estimates of the extreme value index
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• On testing extreme value conditions
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• Pareto Index Estimation Under Moderate Right Censoring
• Poisson and Gaussian approximation of weighted local empirical processes
• Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis
• Bias reduction in risk modelling: semi-parametric quantile estimation
• Adaptive estimation of heavy right tails: resampling-based methods in action
• Semi-parametric regression estimation of the tail index
• Almost sure convergence of the stable tail empirical dependence function in multivariate extreme statistics
• A tail estimator for the index of the stable paretian distribution^∗
• Estimating the conditional tail expectation in the case of heavy-tailed losses
• Minimax risk bounds in extreme value theory
• Estimation of quantiles of the maximum of N observations
• Weak consistency of extreme value estimators in \(C[0,1]\)
• Estimating the conditional extreme-value index under random right-censoring
• Nonparametric estimation of the conditional extreme-value index with random covariates and censoring
• Efficiency of convex combinations of pickands estimator of the extreme value index
• Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
• A class of location invariant estimators for heavy tailed distributions
• Tail fitting for truncated and non-truncated Pareto-type distributions
• Several modifications of DPR estimator of the tail index
• Nonparametric estimation of the conditional tail index and extreme quantiles under random censoring
• Bayesian estimation of the tail index of a heavy tailed distribution under random censoring
• A class of new tail index estimators
• Peaks-over-threshold modeling under random censoring
• Tail index estimation with a fixed tuning parameter fraction
• Size distributions reconsidered
• Tail exponent estimation via broadband log density-quantile regression
• Parameter estimation of the generalized Pareto distribution. I
• A location-invariant probability weighted moment estimation of the Extreme Value Index
• A simple estimator for the characteristic exponent of the stable Paretian distribution
• A nonparametric estimator for the conditional tail index of Pareto-type distributions
• Kernel estimators for the second order parameter in extreme value statistics
• Modeling rare events through a \(p\)RARMAX process
• A local moment type estimator for the extreme value index in regression with random covariates
• Estimating the probability of a rare event
• Properties of Hill's estimator of extreme value index for impure samples
• Approximate moments of extremes
• Best attainable rates of convergence for estimators of the stable tail dependence function
• Weighted least squares estimation of the extreme value index
• A simple robust estimation method for the thickness of heavy tails
• Robust and bias-corrected estimation of the coefficient of tail dependence
• Multivariate moment based extreme value index estimators
• PORT Hill and Moment Estimators for Heavy-Tailed Models
• Estimation of a scale second-order parameter related to the PORT methodology
• Estimating failure probabilities
• On the estimation of high quantiles
• Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
• Estimating extreme bivariate quantile regions
• Tail index and second-order parameters' semi-parametric estimation based on the log-excesses
• Asymptotic normality of extreme value estimators on \(C[0,1]\)
• Selecting the optimal sample fraction in univariate extreme value estimation
• On maximum likelihood estimation of the extreme value index.
• On the estimation of the extreme-value index and large quantile estimation
• Estimation of the extreme value index and extreme quantiles under random censoring
• Statistics of extremes under random censoring
• Weighted least squares estimators for the Parzen tail index
• Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling
• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• Residual estimators

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