Corrected-Hill versus partially reduced-bias value-at-risk estimation

DOI10.1080/03610918.2018.1489053OpenAlexW2912616883WikidataQ122112878 ScholiaQ122112878MaRDI QIDQ5088009

Lgia Henriques-Rodrigues, Fernanda Figueiredo, M. Ivette Gomes, Frederico Caeiro, Dinis Pestana

Publication date: 4 July 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1489053

zbMATH Keywords

statistics of extremesMonte-Carlo simulationsemi-parametric estimationvalue-at-risk estimationheavy right tailsheuristic sample fraction selection

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (1)

A refined Weissman estimator for extreme quantiles

Cites Work

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