Pages that link to "Item:Q5307705"

The following pages link to A Sturdy Reduced-Bias Extreme Quantile (<i>VaR</i>) Estimator (Q5307705):

Displaying 50 items.

• A simple generalisation of the Hill estimator (Q130015) (← links)
• Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework (Q347140) (← links)
• The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance (Q398802) (← links)
• Semi-parametric tail inference through probability-weighted moments (Q607216) (← links)
• Semi-parametric second-order reduced-bias high quantile estimation (Q619113) (← links)
• Mixed moment estimator and location invariant alternatives (Q626286) (← links)
• Uniform in bandwidth consistency of kernel estimators of the tail index (Q650736) (← links)
• Realised quantile-based estimation of the integrated variance (Q736690) (← links)
• An interview with Ivette Gomes (Q897838) (← links)
• Location invariant Weiss-Hill estimator (Q906649) (← links)
• Adaptive estimation of heavy right tails: resampling-based methods in action (Q907363) (← links)
• Bias reduction for high quantiles (Q974486) (← links)
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions (Q1003317) (← links)
• Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold (Q1003332) (← links)
• A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator (Q1003781) (← links)
• Subsampling techniques and the jackknife methodology in the estimation of the extremal index (Q1023534) (← links)
• A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators (Q1623762) (← links)
• Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution (Q2015636) (← links)
• Threshold selection and trimming in extremes (Q2027092) (← links)
• Improved inference on risk measures for univariate extremes (Q2170408) (← links)
• Estimation and inference about tail features with tail censored data (Q2172008) (← links)
• On automatic bias reduction for extreme expectile estimation (Q2172112) (← links)
• Subsampling extremes: from block maxima to smooth tail estimation (Q2252905) (← links)
• Bias correction in extreme value statistics with index around zero (Q2375844) (← links)
• Semi-parametric probability-weighted moments estimation revisited (Q2445488) (← links)
• Robust and asymptotically unbiased estimation of extreme quantiles for heavy tailed distributions (Q2452882) (← links)
• Improved reduced-bias tail index and quantile estimators (Q2480036) (← links)
• The Latest Advances on the Hill Estimator and Its Modifications (Q2787387) (← links)
• Estimation of Extreme Conditional Quantiles Through Power Transformation (Q2861818) (← links)
• Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms (Q2862408) (← links)
• Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology (Q3098930) (← links)
• Scaling of High-Quantile Estimators (Q3108468) (← links)
• New Reduced-bias Estimators of a Positive Extreme Value Index (Q3178492) (← links)
• A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators (Q3459685) (← links)
• PORT Hill and Moment Estimators for Heavy-Tailed Models (Q3527760) (← links)
• EVT-based estimation of risk capital and convergence of high quantiles (Q3535649) (← links)
• Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses (Q3589967) (← links)
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework (Q3631430) (← links)
• Adaptive PORT-MVRB Estimation of the Extreme Value Index (Q4644978) (← links)
• A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation (Q4912037) (← links)
• Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling (Q4929184) (← links)
• Reduced-bias and partially reduced-bias mean-of-order-<i>p</i> value-at-risk estimation: a Monte-Carlo comparison and an application (Q5036848) (← links)
• ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS (Q5069508) (← links)
• On the comparison of several classical estimators of the extreme value index (Q5079223) (← links)
• Corrected-Hill versus partially reduced-bias value-at-risk estimation (Q5088009) (← links)
• A practical method for analysing heavy tailed data (Q5192949) (← links)
• Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model (Q5222295) (← links)
• The MOP EVI-Estimator Revisited (Q5261872) (← links)
• (Q5303070) (← links)
• Extreme quantile estimation based on financial time series (Q5373851) (← links)