Semi-parametric second-order reduced-bias high quantile estimation
From MaRDI portal
Recommendations
Cites work
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- A new class of estimators of a ``scale second order parameter
- A new class of semi-parametric estimators of the second order parameter.
- A simple general approach to inference about the tail of a distribution
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
- Asymptotically unbiased estimators for the extreme-value index
- Bias reduction in risk modelling: semi-parametric quantile estimation
- Bias reduction of a tail index estimator through an external estimation of the second-order parameter
- Comparison of tail index estimators
- Direct reduction of bias of the classical Hill estimator
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Estimating catastrophic quantile levels for heavy-tailed distributions
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Extreme value theory. An introduction.
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 2015219 (Why is no real title available?)
- scientific article; zbMATH DE number 5492169 (Why is no real title available?)
- scientific article; zbMATH DE number 3359478 (Why is no real title available?)
- Improved reduced-bias tail index and quantile estimators
- Improving second order reduced bias extreme value index estimation
- On optimising the estimation of high quantiles of a probability distribution
- On Smooth Statistical Tail Functionals
- On the estimation of high quantiles
- Sur la distribution limite du terme maximum d'une série aléatoire
- Tail index estimation and an exponential regression model
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
Cited in
(13)- A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
- The second-order bias of quantile estimators
- Semi-parametric probability-weighted moments estimation revisited
- A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
- Estimation of high conditional quantiles for heavy-tailed distributions
- Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Extreme Value Theory and Statistics of Univariate Extremes: A Review
- Semi-parametric tail inference through probability-weighted moments
- The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
- Nelson-Aalen kernel estimator to the tail index of right censored Pareto-type data
- Bias reduction in risk modelling: semi-parametric quantile estimation
- An interview with Ivette Gomes
This page was built for publication: Semi-parametric second-order reduced-bias high quantile estimation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q619113)
