On the favorable estimation for fitting heavy tailed data

DOI10.1007/s00180-010-0189-1zbMath1226.62013OpenAlexW1982827816MaRDI QIDQ650699

Milan Stehlík, Zdeněk Fabián, Rastislav Potocký, Helmut Waldl

Publication date: 26 November 2011

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-010-0189-1

zbMATH Keywords

insuranceBasel IIexact likelihood ratio testT-score moment estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Exact distribution theory in statistics (62E15) Statistics of extreme values; tail inference (62G32)

Related Items (19)

Mean-of-order \(p\) reduced-bias extreme value index estimation under a third-order framework ⋮ Weak properties and robustness of t-Hill estimators ⋮ Mean, mode or median? The score mean ⋮ Log‐symmetric quantile regression models ⋮ Finite-sample performance of the T- and W-estimators for the Pareto tail index under data truncation and censoring ⋮ Tail index estimation with a fixed tuning parameter fraction ⋮ The harmonic moment tail index estimator: asymptotic distribution and robustness ⋮ On the favorable estimation for fitting heavy tailed data ⋮ Robust estimator of conditional tail expectation of Pareto-type distribution ⋮ Small Sample Robust Testing for Normality against Pareto Tails ⋮ A class of new tail index estimators ⋮ Acknowledgment of priority: Usage of the Lambert \(W\) function in statistics ⋮ The Latest Advances on the Hill Estimator and Its Modifications ⋮ IPO estimation of heaviness of the distribution beyond regularly varying tails ⋮ The Hill estimators under power normalization ⋮ Score function of distribution and revival of the moment method ⋮ The estimations under power normalization for the tail index, with comparison ⋮ Likelihood testing with censored and missing duration data ⋮ Dichotomous unimodal compound models: application to the distribution of insurance losses

Cites Work

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• Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data
• New Measures of Central Tendency and Variability of Continuous Distributions
• Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution
• Robust estimation of tail parameters for two-parameter Pareto and exponential models via generalized quantile statistics

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