Tail index estimation based on survey data

DOI10.1051/PS/2014011MaRDI QIDQ2786467zbMATH OpenOpenAlexFDO

Authors Patrice Bertail, Emilie Chautru, Stephan Clémençon

Publication date 12 February 2016

Published in European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/ps/2014011

zbMATH Keywords

Hill estimatorPoisson survey schemerejective samplingsurvey samplingtail index estimation

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32)

Recommendations

• scientific article; zbMATH DE number 1301726
• Tail index estimation for dependent data
• On tail index estimation using dependent data
• On tail index estimation based on multivariate data
• Moment-based tail index estimation
• A new approach on estimation of the tail index
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA

Cites work

• A Z‐theorem with Estimated Nuisance Parameters and Correction Note for ‘Weighted Likelihood for Semiparametric Models and Two‐phase Stratified Samples, with Application to Cox Regression’
• A Generalization of Sampling Without Replacement From a Finite Universe
• A simple general approach to inference about the tail of a distribution
• An introduction to copulas. Properties and applications
• Asymptotic Theory for Successive Sampling with Varying Probabilities Without Replacement, I
• Asymptotic Theory of Rejective Sampling with Varying Probabilities from a Finite Population
• Calibration Estimators in Survey Sampling
• Comparison of tail index estimators
• Extreme value theory. An introduction.
• Heavy-Tail Phenomena
• scientific article; zbMATH DE number 3549966 (Why is no real title available?)
• scientific article; zbMATH DE number 1026035 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Large sample theory of empirical distributions in biased sampling models
• Laws of large numbers for sums of extreme values
• Linking Pareto-tail kernel goodness-of-fit statistics with tail index at optimal threshold and second order estimation
• On asymptotic normality of the hill estimator
• On the Convergence of the Horvitz-Thompson Estimator
• Rate of convergence to normal distribution for the Horvitz-Thompson estimator.
• Sampling with Unequal Probabilities and without Replacement
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• Statistics of Extremes
• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Weighted likelihood estimation under two-phase sampling

Cited in

(2)

• Empirical processes in survey sampling with (conditional) Poisson designs
• Scaling by subsampling for big data, with applications to statistical learning

This page was built for publication: Tail index estimation based on survey data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2786467)