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The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction

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References

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1985On Asymptotic Normality of Hill's Estimator for the Exponent of Regular Variation214 cited

Cited by

2002On Exponential Representations of Log-Spacings of Extreme Order Statistics91 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
2008Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions57 cited
2013

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Early warning systems for currency crises: A multivariate extreme value approach

55 cited

2005Extreme behaviour for bivariate elliptical distributions53 cited

2009A sliding blocks estimator for the extremal index52 cited

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

2004A Hill Type Estimator of the Weibull Tail-Coefficient48 cited

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

2004Measuring tail thickness under GARCH and an application to extreme exchange rate changes46 cited

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

2016Threshold Selection in Extreme Value Analysis41 cited

2007Improved reduced-bias tail index and quantile estimators41 cited

2020Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection34 cited