On an improvement of Hill and some other estimators
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Publication:383679
DOI10.1007/S10986-013-9212-XzbMath1294.62110OpenAlexW2068288007MaRDI QIDQ383679
Marijus Vaičiulis, Vygantas Paulauskas
Publication date: 5 December 2013
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-013-9212-x
Related Items (20)
Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations ⋮ Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application ⋮ The stochastic approximation method for recursive kernel estimation of the conditional extreme value index ⋮ Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation ⋮ Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework ⋮ Weak properties and robustness of t-Hill estimators ⋮ On the comparison of several classical estimators of the extreme value index ⋮ A class of semiparametric tail index estimators and its applications ⋮ Corrected-Hill versus partially reduced-bias value-at-risk estimation ⋮ The estimation of parameters for the tapered Pareto distribution from incomplete data ⋮ Comparison of the several parameterized estimators for the positive extreme value index ⋮ Inference of high quantiles of a heavy-tailed distribution from block data ⋮ Semi-parametric regression estimation of the tail index ⋮ A refined Weissman estimator for extreme quantiles ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ A class of new tail index estimators ⋮ The estimations under power normalization for the tail index, with comparison ⋮ Editorial to special issue V WCDANM 2018 ⋮ Lehmer's mean-of-order- p extreme value index estimation: a simulation study and applications ⋮ A class of location invariant estimators for heavy tailed distributions
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