Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model

DOI10.1080/00949655.2014.975707OpenAlexW2041330123MaRDI QIDQ5222295

Frederico Caeiro, M. Ivette Gomes

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2014.975707

zbMATH Keywords

bias reductionheavy tailssemi-parametric estimationsecond-order parameter

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotically unbiased estimation of the second order tail parameter
• Asymptotically unbiased estimators for the extreme-value index
• Semi-parametric estimation for heavy tailed distributions
• A moment estimator for the index of an extreme-value distribution
• Kernel estimators for the second order parameter in extreme value statistics
• Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions
• Adaptive estimates of parameters of regular variation
• Excess functions and estimation of the extreme-value index
• Semi-parametric estimation of the second order parameter in statistics of extremes
• A new class of semi-parametric estimators of the second order parameter.
• Selecting the optimal sample fraction in univariate extreme value estimation
• Revisiting the maximum likelihood estimation of a positive extreme value index
• Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
• A new class of estimators of a ``scale second order parameter
• Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Statistics of Extremes
• A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
• Estimation of second order parameters using probability weighted moments
• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
• Heavy-Tail Phenomena
• Extreme Value Theory and Statistics of Univariate Extremes: A Review

This page was built for publication: Bias reduction in the estimation of a shape second-order parameter of a heavy-tailed model