Comparison of tail index estimators
From MaRDI portal
Publication:4259394
DOI10.1111/1467-9574.00068zbMath0937.62050OpenAlexW2099040323MaRDI QIDQ4259394
Publication date: 23 August 1999
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9574.00068
Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)
Related Items
Multivariate Hill Estimators, A refined Weissman estimator for extreme quantiles, A review of more than one hundred Pareto-tail index estimators, A class of asymptotically unbiased semi-parametric estimators of the tail index., Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application, Heavy tail index estimation based on block order statistics, Hill's estimator for the tail index of an ARMA model, Threshold selection in univariate extreme value analysis, Bias reduction and explicit semi-parametric estimation of the tail index, Empirical-likelihood-based confidence interval for the mean with a heavy-tailed distribution., A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators, Competitive estimation of the extreme value index, New Reduced-bias Estimators of a Positive Extreme Value Index, A bootstrap method to test for the existence of finite moments, A Log Probability Weighted Moment Estimator of Extreme Quantiles, A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators, Asymptotically best linear unbiased tail estimators under a second-order regular variation condition, 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, On the comparison of several classical estimators of the extreme value index, On robust tail index estimation for linear long-memory processes, A class of semiparametric tail index estimators and its applications, Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions, Corrected-Hill versus partially reduced-bias value-at-risk estimation, Semi-parametric tail inference through probability-weighted moments, On an improvement of Hill and some other estimators, Averages of Hill estimators, On robust tail index estimation, Several modifications of DPR estimator of the tail index, Asymptotic properties of generalized DPR statistic, Semi-parametric second-order reduced-bias high quantile estimation, Estimation of central shapes of error distributions in linear regression problems, Comparison of the several parameterized estimators for the positive extreme value index, CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES, Weak limits for exploratory plots in the analysis of extremes, Tail index estimation with a fixed tuning parameter fraction, Priority statement and some properties of t-lgHill estimator, On the tail index of a heavy tailed distribution, Procedure of test to compare the tail indices, Location invariant Weiss-Hill estimator, Adaptive estimation of heavy right tails: resampling-based methods in action, Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data, The harmonic moment tail index estimator: asymptotic distribution and robustness, Regenerative block-bootstrap confidence intervals for tail and extremal indexes, PORT Hill and Moment Estimators for Heavy-Tailed Models, Asymptotically unbiased estimators for the extreme-value index, Confidence regions for high quantiles of a heavy tailed distribution, Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions, Censoring estimators of a positive tail index, Semi-parametric probability-weighted moments estimation revisited, Asymptotic normality of location invariant heavy tail index estimator, Extremal dependence analysis of network sessions, An estimator of heavy tail index through the generalized jackknife methodology, Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model, Random weighting estimation of stable exponent, An adaptive optimal estimate of the tail index for MA(1) time series, Tail approximations to the density function in EVT, A Class of Semi-parametric Probability Weighted Moment Estimators, Limit laws for the norms of extremal samples, Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study, A class of new tail index estimators, Reiss and Thomas' automatic selection of the number of extremes, Performance of global random search algorithms for large dimensions, Comparing extreme models when the sign of the extreme value index is known, Improved reduced-bias tail index and quantile estimators, Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour, Asymptotic comparison of the mixed moment and classical extreme value index estimators, Local-maximum-based tail index estimator, Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models, A simple second-order reduced bias’ tail index estimator, Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling, Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses, Weighted least squares estimation of the extreme value index, Reduced‐bias tail index estimation and the jackknife methodology, On the residual dependence index of elliptical distributions, Weibull tail-distributions revisited: A new look at some tail estimators, A discussion on mean excess plots, Residual estimators, Tail index estimation based on survey data, A practical method for analysing heavy tailed data, A Test for Comparing Tail Indices for Heavy-Tailed Distributions via Empirical Likelihood, A simple generalisation of the Hill estimator, How Can Non-invariant Statistics Work in Our Benefit in the Semi-parametric Estimation of Parameters of Rare Events, Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions, Bootstrap and empirical likelihood methods in extremes, A two-step estimator of the extreme value index, Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold, The coupling method in extreme value theory, A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator, A heuristic adaptive choice of the threshold for bias-corrected Hill estimators, A location-invariant probability weighted moment estimation of the Extreme Value Index, Minimum-Distance Estimator for Stable Exponent, On tail index estimation based on multivariate data, Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses, Inferences on parametric estimation of distribution tails, Revisiting the maximum likelihood estimation of a positive extreme value index, A Beran-inspired estimator for the Weibull-type tail coefficient, Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution, A NEW CALIBRATION METHOD OF CONSTRUCTING EMPIRICAL LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR THE TAIL INDEX, Semiparametric lower bounds for tail index estimation, The MOP EVI-Estimator Revisited, An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
