Estimation of second order parameters using probability weighted moments

DOI10.1051/PS/2010017zbMath1302.62116OpenAlexW2053081177MaRDI QIDQ4921828

Julien Worms, Rym Worms

Publication date: 14 May 2013

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2010017

zbMATH Keywords

extreme valuesdomain of attractiongeneralized Pareto distributionprobability-weighted momentssecond-order parameterexcessesthird-order condition

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework ⋮ Improved estimators of tail index and extreme quantiles under dependence serials ⋮ Unnamed Item ⋮ 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 ⋮ Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation

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