Asymptotically unbiased estimation of the second order tail parameter

DOI10.1016/J.SPL.2011.11.016zbMath1237.62060OpenAlexW2105446961MaRDI QIDQ419178

Maria Reimert Munch, Tertius de Wet, Yuri Goegebeur

Publication date: 18 May 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.11.016

zbMATH Keywords

bias correctionPareto-type distributionthird order condition

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (5)

Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework ⋮ Modeling of censored bivariate extremal events ⋮ A refined Weissman estimator for extreme quantiles ⋮ A Test for Comparing Tail Indices for Heavy-Tailed Distributions via Empirical Likelihood ⋮ Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model

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