Residual estimators

DOI10.1016/S0378-3758(00)00321-9zbMath0977.62056MaRDI QIDQ5950618

Johan Segers

Publication date: 2 January 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

order statisticsregular variationHill estimatorextreme value indexresidual estimators

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (11)

On the estimation of the functional Weibull tail-coefficient ⋮ Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network ⋮ A class of semiparametric tail index estimators and its applications ⋮ Functional kernel estimators of large conditional quantiles ⋮ Semi-parametric estimation for heavy tailed distributions ⋮ Asymptotic normality of location invariant heavy tail index estimator ⋮ Limit laws for the norms of extremal samples ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Generalized Kernel Estimators for the Weibull-Tail Coefficient ⋮ Asymptotic distributions for weighted power sums of extreme values ⋮ Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models

Cites Work

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• Tail estimates motivated by extreme value theory
• A moment estimator for the index of an extreme-value distribution
• Extremes and related properties of random sequences and processes
• Kernel estimates of the tail index of a distribution
• Adaptive estimates of parameters of regular variation
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Laws of large numbers for sums of extreme values
• A simple general approach to inference about the tail of a distribution
• On asymptotic normality of the hill estimator
• Comparison of tail index estimators

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