Improved reduced-bias tail index and quantile estimators
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Publication:2480036
DOI10.1016/j.jspi.2007.07.015zbMath1131.62041OpenAlexW2037081529MaRDI QIDQ2480036
B. Vandewalle, M. Ivette Gomes, Jan Beirlant, Fernanda Figueiredo
Publication date: 28 March 2008
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2007.07.015
Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)
Related Items (18)
Bias correction in extreme value statistics with index around zero ⋮ A Log Probability Weighted Moment Estimator of Extreme Quantiles ⋮ ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS ⋮ Semi-parametric second-order reduced-bias high quantile estimation ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ The harmonic moment tail index estimator: asymptotic distribution and robustness ⋮ Semi-parametric probability-weighted moments estimation revisited ⋮ Adaptive confidence intervals for the tail coefficient in a wide second order class of Pareto models ⋮ An enhanced method for tail index estimation under missingness ⋮ Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Comparing extreme models when the sign of the extreme value index is known ⋮ A comparative study of the adaptive choice of thresholds in extreme hydrologic events ⋮ Bias reduction for high quantiles ⋮ Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses ⋮ A simple generalisation of the Hill estimator ⋮ Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions ⋮ Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology
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