Local Estimation of the Second-Order Parameter in Extreme Value Statistics and Local Unbiased Estimation of the Tail Index

DOI10.1080/03610926.2011.564738zbMath1284.62299OpenAlexW2000561262MaRDI QIDQ4648648

Yuri Goegebeur, Tertius de Wet

Publication date: 12 November 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.564738

zbMATH Keywords

kernel estimatorregressionbias-correctionPareto-type distributionsecond-order parameter

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (2)

Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions ⋮ Nonparametric regression estimation of conditional tails: the random covariate case

Cites Work

• Unnamed Item
• Unnamed Item
• Semi-parametric estimation for heavy tailed distributions
• Regression with response distributions of Pareto-type
• A moving window approach for nonparametric estimation of the conditional tail index
• Kernel estimators for the second order parameter in extreme value statistics
• Functional nonparametric estimation of conditional extreme quantiles
• A general class of estimators of the extreme value index
• ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
• On exponential representations of log-spacings of extreme order statistics
• Semi-parametric estimation of the second order parameter in statistics of extremes
• Local polynomial maximum likelihood estimation for Pareto-type distributions.
• Tail index estimation and an exponential regression model
• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• Bias reduction and explicit semi-parametric estimation of the tail index
• Estimating a tail exponent by modelling departure from a Pareto distribution
• Sur la distribution limite du terme maximum d'une série aléatoire
• Reduced‐bias tail index estimation and the jackknife methodology
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Penalized likelihood inference in extreme value analyses
• Statistics of Extremes
• Local Likelihood Smoothing of Sample Extremes
• Tail Index Regression
• Generalized Additive Modelling of Sample Extremes

This page was built for publication: Local Estimation of the Second-Order Parameter in Extreme Value Statistics and Local Unbiased Estimation of the Tail Index