A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators

DOI10.1016/J.CSDA.2014.08.017OpenAlexW2015195695MaRDI QIDQ1623762

M. Fátima Brilhante, M. Ivette Gomes, Dinis Pestana, Frederico Caeiro

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.08.017

zbMATH Keywords

semiparametric estimationbias estimationstatistics of extremesoptimal levelsheuristic methodsheavy right-tails

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Statistics of extreme values; tail inference (62G32)

Related Items (7)

Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application ⋮ Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation ⋮ Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework ⋮ Corrected-Hill versus partially reduced-bias value-at-risk estimation ⋮ Estimation of extreme quantiles from heavy-tailed distributions with neural networks ⋮ Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model ⋮ A refined Weissman estimator for extreme quantiles

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