Kernel estimators for the second order parameter in extreme value statistics
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Publication:974511
DOI10.1016/J.JSPI.2010.03.029zbMATH Open1188.62143OpenAlexW1997154606MaRDI QIDQ974511FDOQ974511
Authors: Yuri Goegebeur, J. Beirlant, Tertius de Wet 
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.2010.03.029
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Cited In (40)
- Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
- Nonparametric regression estimation of conditional tails: the random covariate case
- Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
- Robust and bias-corrected estimation of the coefficient of tail dependence
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- Semi-parametric estimation of the second order parameter in statistics of extremes
- A new class of semi-parametric estimators of the second order parameter.
- A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
- Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators
- Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
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- Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions
- Robust and bias-corrected estimation of the probability of extreme failure sets
- New Reduced-bias Estimators of a Positive Extreme Value Index
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- Improved estimators of tail index and extreme quantiles under dependence serials
- Kernel density estimations for maximum of two independent random variables
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- A refined Weissman estimator for extreme quantiles
- GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
- ExpectHill estimation, extreme risk and heavy tails
- Estimation of the third-order parameter in extreme value statistics
- A parametric model for distributions with flexible behavior in both tails
- A test for comparing tail indices for heavy-tailed distributions via empirical likelihood
- 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
- Weighted moment estimators for the second order scale parameter
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- Adaptive estimation of heavy right tails: resampling-based methods in action
- On automatic bias reduction for extreme expectile 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
- Asymptotically unbiased estimation of the second order tail parameter
- Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- A log probability weighted moment estimator of extreme quantiles
- On kernel estimation of the second order rate parameter in multivariate extreme value statistics
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
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