Bias reduction for high quantiles

DOI10.1016/j.jspi.2010.02.025zbMath1188.62166OpenAlexW2121168688MaRDI QIDQ974486

Jing-Ping Yang, Deyuan Li, Liang Peng

Publication date: 3 June 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.2010.02.025

zbMATH Keywords

bias reductiontail indexhigh quantilesecond order regular variation

Mathematics Subject Classification ID

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

Related Items (9)

Tail product-limit process for truncated data with application to extreme value index estimation ⋮ Bias correction in extreme value statistics with index around zero ⋮ ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS ⋮ Approximation of high quantiles from intermediate quantiles ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Linear quantile regression models for longitudinal experiments: an overview ⋮ ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION ⋮ Estimation of High Conditional Quantiles for Heavy-Tailed Distributions ⋮ Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology

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