Robust and efficient estimation for the generalized Pareto distribution
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Cites work
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 794688 (Why is no real title available?)
- Exceedances over high thresholds: a guide to threshold selection
- Maximum likelihood estimation in a class of nonregular cases
- Parameter and Quantile Estimation for the Generalized Pareto Distribution
- Robust and efficient estimation by minimising a density power divergence
- Robust estimation of the generalized Pareto distribution
Cited in
(33)- Parameter estimation of the generalized Pareto distribution. II
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- A robust estimator for the tail index of Pareto-type distributions
- Estimation of the Pareto and related distributions – A reference-intrinsic approach
- Robust estimator of conditional tail expectation of Pareto-type distribution
- Likelihood inference for generalized Pareto distribution
- Outlier detection based on extreme value theory and applications
- Optimally robust estimators in generalized Pareto models
- Robust and efficient estimation of the shape parameter of alpha-stable distributions
- Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions
- Generalized Pareto approximation for a distribution in the Fréchet or Gumbel domain of attraction: Relative approximation error of a high quantile
- The minimum density power divergence estimation for the lognormal density
- Robust estimation of the generalized Pareto distribution
- Zero-inflated truncated generalized Pareto distribution for the analysis of radio audience data
- Minimizing robust density power-based divergences for general parametric density models
- Robust estimation in stochastic frontier models
- Estimating extreme tail risk measures with generalized Pareto distribution
- Correcting certain estimation methods for the generalized Pareto distribution
- Minimum density power divergence estimator for GARCH models
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Modeling severity and measuring tail risk of Norwegian fire claims
- Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
- Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach
- Robust estimation of Pareto-type tail index through an exponential regression model
- Robust conditional Weibull-type estimation
- Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
- Robust nonparametric estimation of the conditional tail dependence coefficient
- Detecting influential data points for the Hill estimator in Pareto-type distributions
- Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
- Dual divergence estimators of the tail index
- Robust bootstrap forecast densities for GARCH returns and volatilities
- A hybrid estimator for generalized pareto and extreme-value distributions
- A distributed quantile estimation algorithm of heavy-tailed distribution with massive datasets
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