Robust weighted likelihood estimators with an application to bivariate extreme value problems

DOI10.2307/3315863MaRDI QIDQ3148209zbMATH OpenOpenAlexFDO

Authors Stephan Morgenthaler, Debbie J. Dupuis

Publication date 26 November 2002

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3315863

zbMATH Keywords

bias correctionbivariate extreme value distributiondependenceextreme sea levelsoutlierweighted maximum likelihoodweights

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Statistics of extreme values; tail inference (62G32) Nonparametric robustness (62G35) Applications of statistics to environmental and related topics (62P12)

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Cites work

• Exceedances over high thresholds: a guide to threshold selection
• Extremal Analysis of Short Series with Outliers: Sea-Levels and Athletics Records
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 795297 (Why is no real title available?)
• Robust and efficient estimation by minimising a density power divergence
• Robust estimation of extremes
• Robust Estimation: A Weighted Maximum Likelihood Approach
• Weighted Likelihood Equations with Bootstrap Root Search

Cited in

(20)

• Robust estimating equations and bias correction of correlation parameters for longitudinal data
• Robust estimation in the errors variables model via weighted likelihood estimating equations
• Detecting influential data points for the Hill estimator in Pareto-type distributions
• Statistical inference based on a new weighted likelihood approach
• Robust estimation by means of scaled Bregman power distances. II: Extreme values
• Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models
• Optimally robust estimators in generalized Pareto models
• Weak properties and robustness of t-Hill estimators
• scientific article; zbMATH DE number 5716995 (Why is no real title available?)
• Robust estimation of extremes
• The weighted likelihood
• Strategies for handling missing data in longitudinal studies with questionnaires
• Simulation-based bias correction methods for complex models
• Robust state space models for estimating fish stock maturities
• A robust prediction error criterion for pareto modelling of upper tails
• Robust Fits for Copula Models
• Fitting log-F models robustly, with an application to the analysis of extreme values.
• A review of more than one hundred Pareto-tail index estimators
• Robustifying Likelihoods by Optimistically Re-weighting Data
• Inference for new environmental contours using extreme value analysis

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