Averages of Hill estimators
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Publication:882925
DOI10.1007/BF02603003zbMath1110.62046MaRDI QIDQ882925
M. João Martins, M. Ivette Gomes, M. Manuela Neves
Publication date: 25 May 2007
Published in: Test (Search for Journal in Brave)
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
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Cites Work
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- Laws of large numbers for sums of extreme values
- A simple general approach to inference about the tail of a distribution
- Smoothing the moment estimator of the extreme value parameter
- Optimal choice of sample fraction in extreme-value estimation
- The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction
- Selecting the optimal sample fraction in univariate extreme value estimation
- How to make a Hill plot.
- A Diagnostic for Selecting the Threshold in Extreme Value Analysis
- Comparison of tail index estimators
- Some results on the behaviour of hill's estimator
- Smoothing the Hill Estimator
- Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
- Using a bootstrap method to choose the sample fraction in tail index estimation
- A bootstrap-based method to achieve optimality in estimating the extreme-value index
- Alternatives to a semi-parametric estimator of parameters of rare events -- the jackknife methodology
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