The MOP EVI-Estimator Revisited

DOI10.1007/978-3-319-05323-3_16zbMath1320.62109OpenAlexW174523100MaRDI QIDQ5261872

M. Ivette Gomes, Dinis Pestana, M. Fátima Brilhante

Publication date: 8 July 2015

Published in: New Advances in Statistical Modeling and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-05323-3_16

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)

Related Items (7)

Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application ⋮ A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators ⋮ New Reduced-bias Estimators of a Positive Extreme Value Index ⋮ Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation ⋮ Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ A simple generalisation of the Hill estimator

Cites Work

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• A simple general approach to inference about the tail of a distribution
• The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
• ``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.
• Sur la distribution limite du terme maximum d'une série aléatoire
• Comparison of tail index estimators
• A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator

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