Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses

DOI10.1080/00949650902755178zbMath1195.62069OpenAlexW1971527059MaRDI QIDQ3589967

Hugo Pereira, M. Ivette Gomes, Dinis Pestana, Lígia Henriques-Rodrigues

Publication date: 17 September 2010

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650902755178

zbMATH Keywords

survival analysisMonte Carlo simulationheavy tailsmaximum likelihoodstatistics of extremessemi-parametric estimationlog-excesses

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to biology and medical sciences; meta analysis (62P10) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Medical applications (general) (92C50)

Related Items (12)

New Reduced-bias Estimators of a Positive Extreme Value Index ⋮ A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators ⋮ Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework ⋮ Weighted moment estimators for the second order scale parameter ⋮ Adaptive estimation of heavy right tails: resampling-based methods in action ⋮ Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study ⋮ Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling ⋮ A simple generalisation of the Hill estimator ⋮ Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology ⋮ Revisiting the maximum likelihood estimation of a positive extreme value index ⋮ 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

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• A simple second-order reduced bias’ tail index estimator
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