Generalized Pickands estimators for the extreme value index

DOI10.1016/j.jspi.2003.11.004zbMath1089.62053OpenAlexW2169738625MaRDI QIDQ707049

Johan Segers

Publication date: 9 February 2005

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

Full work available at URL: https://research.tue.nl/nl/publications/4d992042-9caa-4f46-a56d-49c3713f58ee

zbMATH Keywords

Pickands estimatorExtreme value indexGeneralized Pareto distributionSecond-order regular variationTail quantile functionThreshold exceedances

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (9)

Location invariant Weiss-Hill estimator ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Generalized Pickands estimators for the extreme value index ⋮ Weighted least squares estimation of the extreme value index ⋮ On the tail behavior of a class of multivariate conditionally heteroskedastic processes ⋮ Partially smooth tail-index estimation for small samples ⋮ Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions ⋮ Second-order refined peaks-over-threshold modelling for heavy-tailed distributions ⋮ Smooth tail-index estimation

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