A moment estimator for the index of an extreme-value distribution
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Publication:914280
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
Recommendations
asymptotic normalityHill's estimatorquantile estimationConsistencyextreme-value distributionendpoint estimationindex of a distribution functionregularly varying tail
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)
- 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
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
- Statistics for tail processes of Markov chains
- Robust and bias-corrected estimation of the probability of extreme failure sets
- Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data
- Fighting the arch–enemy with mathematics‘
- Modeling large claims in non-life insurance
- Bias correction in extreme value statistics with index around zero
- A new class of estimators of a ``scale second order parameter
- Asymptotic comparison of the mixed moment and classical extreme value index estimators
- On univariate extreme value statistics and the estimation of reinsurance premiums
- The mean residual life function at great age: Applications to tail estimation
- Almost sure convergence of extreme order statistics
- A discussion on mean excess plots
- A moment estimator for the conditional extreme-value index
- Nonparametric tail estimation using a double bootstrap method.
- A general class of estimators of the extreme value index
- The extent of the maximum likelihood estimator for the extreme value index
- Bivariate tail estimation: dependence in asymptotic independence
- On the estimation of the Weibull tail coefficient
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Mixtures of tails in clustered automobile collision claims
- Asymptotically unbiased estimation of the coefficient of tail dependence
- A simple generalisation of the Hill estimator
- Estimating the conditional tail index by integrating a kernel conditional quantile estimator
- Some comments on the estimation of a dependence index in bivariate extreme value statistics.
- An estimator for the extreme-value index
- Empirical likelihood method for intermediate quantiles
- Semiparametric lower bounds for tail index estimation
- Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
- Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
- Weak properties and robustness of t-Hill estimators
- On an improvement of Hill and some other estimators
- Estimation of distribution tails —a semiparametric approach
- On optimising the estimation of high quantiles of a probability distribution
- On optimal portfolio diversification with respect to extreme risks
- On some estimates based on sample behavior near high level excursions
- Frontier estimation and extreme value theory
- Asymptotic normality of location invariant heavy tail index estimator
- A location-invariant non-positive moment-type estimator of the extreme value index
- Estimation of extreme risk regions under multivariate regular variation
- Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations
- Kernel-type estimators for the extreme value index
- Approximation of high quantiles from intermediate quantiles
- A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
- Extreme value index estimator using maximum likelihood and moment estimation
- Consistent estimation of the tail index for dependent data
- Tail index estimation in the presence of long-memory dynamics
- Mixed moment estimator and location invariant alternatives
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- Estimating Extreme Quantiles of Weibull Tail Distributions
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- Estimation of the extreme-value index and generalized quantile plots
- Moment-based tail index estimation
- 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
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