Bias reduction of a tail index estimator through an external estimation of the second-order parameter

DOI10.1080/02331880412331284304zbMath1055.62055OpenAlexW1997508738MaRDI QIDQ4651105

Fernanda Figueiredo, Frederico Caeiro, M. Ivette Gomes

Publication date: 21 February 2005

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880412331284304

zbMATH Keywords

semi-parametric estimationtheory of extremes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (16)

Bias correction in extreme value statistics with index around zero ⋮ Semi-parametric second-order reduced-bias high quantile estimation ⋮ Bias reduction for endpoint estimation ⋮ Change point test for tail index for dependent data ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Comparing extreme models when the sign of the extreme value index is known ⋮ Improved reduced-bias tail index and quantile estimators ⋮ A simple second-order reduced bias’ tail index estimator ⋮ Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels ⋮ Bias reduction for high quantiles ⋮ Reduced‐bias tail index estimation and the jackknife methodology ⋮ Weibull tail-distributions revisited: A new look at some tail estimators ⋮ 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 ⋮ Does bias reduction with external estimator of second order parameter work for endpoint? ⋮ Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses

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