A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator

DOI10.1016/J.SPL.2008.08.016zbMath1155.62037OpenAlexW2031407508MaRDI QIDQ1003781

Frederico Caeiro, M. Ivette Gomes, Dinis Pestana

Publication date: 4 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.08.016

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (16)

Joint inference on extreme expectiles for multivariate heavy-tailed distributions ⋮ On automatic bias reduction for extreme expectile estimation ⋮ GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series ⋮ Estimating the conditional tail expectation in the case of heavy-tailed losses ⋮ Weighted moment estimators for the second order scale parameter ⋮ Comparison of the several parameterized estimators for the positive extreme value index ⋮ An interview with Ivette Gomes ⋮ Adaptive estimation of heavy right tails: resampling-based methods in action ⋮ Estimating Long Memory in Panel Random‐Coefficient AR(1) Data ⋮ Inference about the tail of a distribution: improvement on the Hill estimator ⋮ ExpectHill estimation, extreme risk and heavy tails ⋮ A class of new tail index estimators ⋮ Local-maximum-based tail index estimator ⋮ Bias reduction for high quantiles ⋮ Reduced-Bias Tail Index Estimators Under a Third-Order Framework ⋮ Regression estimator for the tail index

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