Comparison at optimal levels of classical tail index estimators: a challenge for reduced-bias estimation?

DOI10.7151/DMPS.1120zbMath1208.62086OpenAlexW2330350801MaRDI QIDQ3084954

M. Ivette Gomes, Lígia Henriques-Rodrigues

Publication date: 25 March 2011

Published in: Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3677523330220bfe502e151ae333d8369ed2dacb

zbMATH Keywords

heavy tailsbias estimationextremessemi-parametric estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Competitive estimation of the extreme value index ⋮ On the comparison of several classical estimators of the extreme value index ⋮ Comparison of the several parameterized estimators for the positive extreme value index ⋮ A simple generalisation of the Hill estimator

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