Reiss and Thomas' automatic selection of the number of extremes

DOI10.1016/J.CSDA.2003.11.011zbMATH Open1430.62096OpenAlexW1967070567MaRDI QIDQ957044FDOQ957044

Authors: Cláudia Neves, M. Isabel Fraga Alves 

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2003.11.011

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zbMATH Keywords

semiparametric estimationsimulationgeneralized extreme value distributionmean squared errorgeneralized Pareto distributionregular variation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32)

Cites Work

• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Optimal choice of sample fraction in extreme-value estimation
• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
• Tail index estimation and an exponential regression model
• Selecting the optimal sample fraction in univariate extreme value estimation
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• Comparison of tail index estimators
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• Smoothing the Hill Estimator
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• On the estimation of the extreme-value index and large quantile estimation
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• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• A location invariant Hill-type estimator
• Tail estimates motivated by extreme value theory
• Regression with response distributions of Pareto-type
• Smoothing the moment estimator of the extreme value parameter

Cited In (21)

• Invited article by M. Gidea: Extreme events and emergency scales
• Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
• Threshold selection in univariate extreme value analysis
• Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions
• Statistical estimate of the proportional hazard premium of loss
• Extreme Value Analysis of Mortality at the Oldest Ages: A Case Study Based on Individual Ages at Death
• Semiparametric tail-index estimation for randomly right-truncated heavy-tailed data
• Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
• Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
• Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
• On discrimination between classes of distribution tails
• Estimating L-functionals for heavy-tailed distributions and application
• Modeling nonstationary extremes of storm severity: comparing parametric and semiparametric inference
• Estimating the conditional tail expectation in the case of heavy-tailed losses
• Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data
• Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
• Estimation for heavy tailed moving average process
• Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
• Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
• Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
• Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution

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