Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework

DOI10.1007/s10687-016-0261-5zbMath1357.62211OpenAlexW2461286013MaRDI QIDQ347140

Frederico Caeiro, Tertius de Wet, M. Ivette Gomes, Jan Beirlant

Publication date: 30 November 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-016-0261-5

zbMATH Keywords

Monte Carlo simulationheavy tailsHill estimatorbias estimationstatistics of extremesoptimal levelssemiparametric reduced-bias estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

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