PORT Hill and Moment Estimators for Heavy-Tailed Models

DOI10.1080/03610910802050910zbMath1152.65016OpenAlexW1996768306MaRDI QIDQ3527760

M. Isabel Fraga Alves, M. Ivette Gomes, Paulo Araújo Santos

Publication date: 30 September 2008

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910802050910

zbMATH Keywords

Monte Carlo simulationextreme value indexnonparametric estimationstatistics of extremestail inferencesemi-parametric estimationreduced-bias estimationstatistics of extreme valuessample of excesses

Mathematics Subject Classification ID

Related Items (18)

Competitive estimation of the extreme value index ⋮ Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation ⋮ Location invariant heavy tail index estimation with block method ⋮ Semi-parametric tail inference through probability-weighted moments ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Mixed moment estimator and location invariant alternatives ⋮ Location invariant Weiss-Hill estimator ⋮ Adaptive estimation of heavy right tails: resampling-based methods in action ⋮ Adaptive PORT-MVRB Estimation of the Extreme Value Index ⋮ A Note on the Port Methodology in the Estimation of a Shape Second-Order Parameter ⋮ Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ The Latest Advances on the Hill Estimator and Its Modifications ⋮ A location-invariant probability weighted moment estimation of the Extreme Value Index ⋮ Estimation of a scale second-order parameter related to the PORT methodology ⋮ Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms ⋮ A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation ⋮ A class of location invariant estimators for heavy tailed distributions

Uses Software

• QRM

Cites Work

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• Extreme quantile estimation for dependent data, with applications to finance
• A moment estimator for the index of an extreme-value distribution
• Adaptive estimates of parameters of regular variation
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• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Comparison of tail index estimators
• How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events
• A Skew Extension of the T-Distribution, with Applications
• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• A simple second-order reduced bias’ tail index estimator
• A heuristic adaptive choice of the threshold for bias-corrected Hill estimators

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