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

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)

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Cites work

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• Using a bootstrap method to choose the sample fraction in tail index estimation

Cited in

(21)

• Modeling nonstationary extremes of storm severity: comparing parametric and semiparametric inference
• Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
• Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
• 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
• Invited article by M. Gidea: Extreme events and emergency scales
• Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
• Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions
• Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death
• Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
• Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
• 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
• Estimating L-functionals for heavy-tailed distributions and application
• Bias reduction in kernel tail index estimation for randomly truncated Pareto-type data
• Estimation for heavy tailed moving average process.
• Semiparametric tail-index estimation for randomly right-truncated heavy-tailed data
• Estimating the conditional tail expectation in the case of heavy-tailed losses
• On discrimination between classes of distribution tails
• Statistical estimate of the proportional hazard premium of loss
• Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses

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