Semi-parametric tail inference through probability-weighted moments

DOI10.1016/j.jspi.2010.08.015zbMath1200.62052OpenAlexW2025139459MaRDI QIDQ607216

Frederico Caeiro, M. Ivette Gomes

Publication date: 19 November 2010

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

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.08.015

zbMATH Keywords

heavy tailsextreme value indexstatistics of extremessemi-parametric estimationfirst order scale parameter

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (10)

Goodness-of-fit tests for semiparametric and parametric hypotheses based on the probability weighted empirical characteristic function ⋮ Competitive estimation of the extreme value index ⋮ A Log Probability Weighted Moment Estimator of Extreme Quantiles ⋮ Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Nonparametric probability weighted empirical characteristic function and applications ⋮ Semi-parametric probability-weighted moments estimation revisited ⋮ A Class of Semi-parametric Probability Weighted Moment Estimators ⋮ Extreme value index estimator using maximum likelihood and moment estimation ⋮ A location-invariant probability weighted moment estimation of the Extreme Value Index

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