A review of more than one hundred Pareto-tail index estimators

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Cites Work

A simple generalisation of the Hill estimator
Income distribution and inequality measurement: the problem of extreme values
Competitive estimation of the extreme value index
Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework
On an improvement of Hill and some other estimators
Several modifications of DPR estimator of the tail index
Asymptotic properties of generalized DPR statistic
Asymptotically unbiased estimators for the extreme-value index
A class of new tail index estimators
Mixed moment estimator and location invariant alternatives
Semi-parametric estimation for heavy tailed distributions
Generalized Pickands estimators for the extreme value index
Regression estimator for the tail index
Estimation of the extreme-value index and generalized quantile plots
Moment-based tail index estimation
On the tail index of a heavy tailed distribution
A moment estimator for the index of an extreme-value distribution
Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known
Estimation of the extreme value index and extreme quantiles under random censoring
A robust estimator for the tail index of Pareto-type distributions
An estimator of the tail index based on increment ratio statistics
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
Estimating tails of probability distributions
Convergence to a stable distribution via order statistics
Laws of large numbers for sums of extreme values
Statistical inference using extreme order statistics
A simple general approach to inference about the tail of a distribution
A simple robust estimation method for the thickness of heavy tails
Estimating the index of a stable distribution
Excess functions and estimation of the extreme-value index
A general class of estimators of the extreme value index
Scaling behavior in land markets
A new estimator for a tail index
Generalized least-squares estimators for the thickness of heavy tails
Limiting behaviour of a geometric-type estimator for tail indices.
``Asymptotically unbiased estimators of the tail index based on external estimation of the second order parameter
On exponential representations of log-spacings of extreme order statistics
Kernel-type estimators for the extreme value index
A new class of semi-parametric estimators of the second order parameter.
Test of tails based on extreme regression quantiles
Tail index estimation and an exponential regression model
On a generalized Pickands estimator of the extreme value index
Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework
Improved estimators for parameters of a Pareto distribution with a restricted scale
A class of tests on the tail index
How to make a Hill plot.
A new approach on estimation of the tail index
Generalized jackknife semi-parametric estimators of the tail index
A class of asymptotically unbiased semi-parametric estimators of the tail index.
Understanding the cubic and half-cubic laws of financial fluctuations
Bias reduction and explicit semi-parametric estimation of the tail index
Estimation problems for distributions with heavy tails
A location invariant Hill-type estimator
Weak limiting behaviour of a simple tail Pareto-index estimator
Estimation of the tail parameter in the domain of attraction of an extremal distribution
Refined Pickands estimators of the extreme value index
On robust tail index estimation
Estimation of the tail index in the max-aggregation scheme
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Inference about the tail of a distribution: improvement on the Hill estimator
A class of Pickands-type estimators for the extreme value index
Estimating a tail exponent by modelling departure from a Pareto distribution
More on \(P\)-stable convex sets in Banach spaces
Estimation of the shape parameter of a generalized Pareto distribution based on a transformation to Pareto distributed variables
Asymptotically best linear unbiased tail estimators under a second-order regular variation condition
The harmonic moment tail index estimator: asymptotic distribution and robustness
A new class of estimators of a ``scale second order parameter
Improved reduced-bias tail index and quantile estimators
Weighted least squares estimation of the extreme value index
Pareto Index Estimation Under Moderate Right Censoring
A new hybrid estimation method for the generalized pareto distribution
The Distribution of Wealth and Fiscal Policy in Economies With Finitely Lived Agents
The qq-estimator and heavy tails
Robust weighted likelihood estimators with an application to bivariate extreme value problems
Bias-corrected geometric-type estimators of the tail index
NOTES ON BIAS IN ESTIMATION
Why Has CEO Pay Increased So Much?^*
Smooth tail-index estimation
Efficiency of convex combinations of pickands estimator of the extreme value index
PORT Hill and Moment Estimators for Heavy-Tailed Models
LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
Reduced‐bias tail index estimation and the jackknife methodology
Central limit theorems for sums of extreme values
Parameter and Quantile Estimation for the Generalized Pareto Distribution
Almost sure convergence of the Hill estimator
On Smooth Statistical Tail Functionals
On asymptotic normality of the hill estimator
Comparison of tail index estimators
Modeling asset returns with alternative stable distributions^*
Robust methods for personal‐income distribution models
The method of moments ratio estimator for the tail shape parameter
Refined pickands estimators wtth bias correction
Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
A hybrid estimator for generalized pareto and extreme-value distributions
Maximum likelihood revisited under a semi-parametric context - estimation of the tail index
Bias reduction of a tail index estimator through an external estimation of the second-order parameter
SHIFTED HILL'S ESTIMATOR FOR HEAVY TAILS
A Median Regression Model to Estimate the Parameters of the Three-Parameter Generalized Pareto Distribution
Pareto Tail Index Estimation Revisited
Comparison of the several parameterized estimators for the positive extreme value index
The MOP EVI-Estimator Revisited
A robust prediction error criterion for pareto modelling of upper tails
Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents
Asymptotic inference about a density function at an end of its range
Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution
Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
Residual estimators
Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
Extreme Value Theory and Statistics of Univariate Extremes: A Review
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