Kernel estimators for the second order parameter in extreme value statistics
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- scientific article; zbMATH DE number 4012931 (Why is no real title available?)
- scientific article; zbMATH DE number 3176450 (Why is no real title available?)
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- On exponential representations of log-spacings of extreme order statistics
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- Semi-parametric estimation of the second order parameter in statistics of extremes
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- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
Cited in
(40)- Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions
- A parametric model for distributions with flexible behavior in both tails
- Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
- Adaptive estimation of heavy right tails: resampling-based methods in action
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- Robust and bias-corrected estimation of the probability of extreme failure sets
- A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
- GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
- Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
- Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling
- Estimation of the third-order parameter in extreme value statistics
- Asymptotically unbiased estimation of the coefficient of tail dependence
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- A test for comparing tail indices for heavy-tailed distributions via empirical likelihood
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
- Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
- A log probability weighted moment estimator of extreme quantiles
- Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators
- A simple generalisation of the Hill estimator
- Semi-parametric estimation of the second order parameter in statistics of extremes
- A new class of semi-parametric estimators of the second order parameter.
- ExpectHill estimation, extreme risk and heavy tails
- A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators
- Estimating the conditional tail index by integrating a kernel conditional quantile estimator
- A refined Weissman estimator for extreme quantiles
- On automatic bias reduction for extreme expectile estimation
- A supermartingale argument for characterizing the functional Hill process weak law for small parameters
- Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
- Adaptive reduced-bias tail index and VaR estimation via the bootstrap methodology
- Weighted moment estimators for the second order scale parameter
- Improved estimators of tail index and extreme quantiles under dependence serials
- New Reduced-bias Estimators of a Positive Extreme Value Index
- Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model
- Robust and bias-corrected estimation of the coefficient of tail dependence
- On kernel estimation of the second order rate parameter in multivariate extreme value statistics
- Kernel density estimations for maximum of two independent random variables
- Asymptotically unbiased estimation of the second order tail parameter
- Nonparametric regression estimation of conditional tails: the random covariate case
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