Bias reduction for high quantiles
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Publication:974486
DOI10.1016/J.JSPI.2010.02.025zbMATH Open1188.62166OpenAlexW2121168688MaRDI QIDQ974486FDOQ974486
Jingping Yang, Deyuan Li, Liang Peng
Publication date: 3 June 2010
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2010.02.025
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Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)
Cites Work
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- Improved reduced-bias tail index and quantile estimators
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- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
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- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- Heavy-Tail Phenomena
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Bias reduction and explicit semi-parametric estimation of the tail index
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- Estimating catastrophic quantile levels for heavy-tailed distributions
- On the estimation of high quantiles
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework
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- A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
- Bias reduction of a tail index estimator through an external estimation of the second-order parameter
- Bias reduction in risk modelling: semi-parametric quantile estimation
Cited In (11)
- Bias reduction for the ratio of means
- Tail product-limit process for truncated data with application to extreme value index estimation
- Bias correction in extreme value statistics with index around zero
- Title not available (Why is that?)
- ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS
- Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Estimation of High Conditional Quantiles for Heavy-Tailed Distributions
- Linear quantile regression models for longitudinal experiments: an overview
- Approximation of high quantiles from intermediate quantiles
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
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