A class of new tail index estimators
From MaRDI portal
Publication:520570
DOI10.1007/s10463-015-0548-3zbMath1362.62116arXiv1501.00811OpenAlexW2196865181MaRDI QIDQ520570
Vygantas Paulauskas, Marijus Vaičiulis
Publication date: 5 April 2017
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.00811
Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
Related Items (13)
Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network ⋮ The stochastic approximation method for recursive kernel estimation of the conditional extreme value index ⋮ A class of semiparametric tail index estimators and its applications ⋮ Corrected-Hill versus partially reduced-bias value-at-risk estimation ⋮ Comparison of the several parameterized estimators for the positive extreme value index ⋮ Inference of high quantiles of a heavy-tailed distribution from block data ⋮ Semi-parametric regression estimation of the tail index ⋮ Limit laws for the norms of extremal samples ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ A class of new tail index estimators ⋮ IPO estimation of heaviness of the distribution beyond regularly varying tails ⋮ The estimations under power normalization for the tail index, with comparison ⋮ Lehmer's mean-of-order- p extreme value index estimation: a simulation study and applications
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A simple generalisation of the Hill estimator
- On an improvement of Hill and some other estimators
- Several modifications of DPR estimator of the tail index
- A class of new tail index estimators
- On the favorable estimation for fitting heavy tailed data
- A moment estimator for the index of an extreme-value distribution
- A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator
- Adaptive estimates of parameters of regular variation
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- Optimal choice of sample fraction in extreme-value estimation
- A general class of estimators of the extreme value index
- A new estimator for a tail index
- ``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
- A new class of semi-parametric estimators of the second order parameter.
- The harmonic moment tail index estimator: asymptotic distribution and robustness
- Comparison of tail index estimators
- The method of moments ratio estimator for the tail shape parameter
- Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
This page was built for publication: A class of new tail index estimators
