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Location invariant Weiss-Hill estimator (Q906649)

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scientific article; zbMATH DE number 6534695

Language	Label	Description	Also known as
English	Location invariant Weiss-Hill estimator	scientific article; zbMATH DE number 6534695

Statements

scholarly article

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Location invariant Weiss-Hill estimator (English)

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Saralees Nadarajah

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publication date

22 January 2016

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full work available at URL

https://www.research.manchester.ac.uk/portal/en/publications/location-invariant-weisshill-estimator(acc985bc-2d32-44bc-8c1a-a4fa65da2007).html

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zbMATH Keywords

extreme value index

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location invariant

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mean squared error

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second order regular variation

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MaRDI profile type

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Excess functions and estimation of the extreme-value index

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Comparison of tail index estimators

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On the estimation of the extreme-value index and large quantile estimation

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A moment estimator for the index of an extreme-value distribution

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A bootstrap-based method to achieve optimality in estimating the extreme-value index

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Some Best Parameter Estimates for Distributions with Finite Endpoint

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A location invariant Hill-type estimator

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Weiss-Hill estimator

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Mixed moment estimator and location invariant alternatives

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Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold

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``Asymptotically unbiased'' estimators of the tail index based on external estimation of the second order parameter

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Bias reduction and explicit semi-parametric estimation of the tail index

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A Sturdy Reduced-Bias Extreme Quantile (<i>VaR</i>) Estimator

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Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses

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PORT Hill and Moment Estimators for Heavy-Tailed Models

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A simple general approach to inference about the tail of a distribution

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A class of unbiased location invariant Hill-type estimators for heavy tailed distributions

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Asymptotic normality of location invariant heavy tail index estimator

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Iterative estimation of the extreme value index

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Asymptotically unbiased estimators for the extreme-value index

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A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX

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Confidence regions for high quantiles of a heavy tailed distribution

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Statistical inference using extreme order statistics

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On the tail index of a heavy tailed distribution

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Generalized Pickands estimators for the extreme value index

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Asymptotic inference about a density function at an end of its range

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10687-011-0134-X

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Sitelinks

Mathematics(1 entry)

mardi Publication:906649

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