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“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter

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References

1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation452 cited
1999Estimating a tail exponent by modelling departure from a Pareto distribution229 cited
1996Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics223 cited

Cited by

2007Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses129 cited
2007A Sturdy Reduced-Bias Extreme Quantile ( VaR ) Estimator124 cited
2022Direct Reduction of Bias of the Classical Hill Estimator118 cited
2002Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes79 cited
2012A simple generalisation of the Hill estimator69 cited
2022Overview and Open Research Topics in Statistics of Univariate Extremes63 cited
2022Improving Second Order Reduced Bias Extreme Value Index Estimation60 cited
2010Kernel estimators for the second order parameter in extreme value statistics59 cited
2009Reduced-Bias Tail Index Estimators Under a Third-Order Framework58 cited
2008

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Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions

57 cited

2013Extreme Value Analysis : an Introduction50 cited

2006A simple second-order reduced bias’ tail index estimator48 cited

2007A new class of estimators of a “scale” second order parameter48 cited

2003Bias reduction and explicit semi-parametric estimation of the tail index47 cited

2011Adaptive estimation of heavy right tails: resampling-based methods in action44 cited

2012Bias correction in extreme value statistics with index around zero44 cited