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Bias reduction of a tail index estimator through an external estimation of the second-order parameter
11 references·1 citing·32 second hop
Bias reduction of a tail index estimator through an external estimation of the second-order parameter (2004)Bias reduction of a tail index estimator …Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes (2002)Semi-parametric Estimation of…“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter (2002)“Asymptotically Unbiased” Est…Generalizations of the Hill estimator – asymptotic versus finite sample behaviour (2001)Generalizations of the Hill e…Alternatives to a Semi-Parametric Estimator of Parameters of Rare Events—The Jackknife Methodology* (2000)Alternatives to a Semi-Parame…Tail Index Estimation and an Exponential Regression Model (1999)Tail Index Estimation and an …Estimating a tail exponent by modelling departure from a Pareto distribution (1999)Estimating a tail exponent by…A Bootstrap-based Method to Achieve Optimality in Estimating the Extreme-value Index (1999)A Bootstrap-based Method to A…Asymptotically unbiased estimators for the extreme-value index (1998)Asymptotically unbiased estim…A general class of estimators of the extreme value index (1998)A general class of estimators…A Moment Estimator for the Index of an Extreme-Value Distribution (1989)A Moment Estimator for the In…On Some Simple Estimates of an Exponent of Regular Variation (1982)On Some Simple Estimates of a…A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator (2008)A note on the asymptotic vari…Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)A Sturdy Reduced-Bias Extreme Quantile ( VaR ) Estimator (2007)Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses (2007)Direct Reduction of Bias of the Classical Hill Estimator (2022)Kernel Estimates of the Tail Index of a Distribution (1985)Improving Second Order Reduced Bias Extreme Value Index Estimation (2022)Overview and Open Research Topics in Statistics of Univariate Extremes (2022)Human Behavior and the Principle of Least Effort: An Introduction to Human Ecology. (1949)Human behavior and the principle of least effort: An introduction to human ecology. By George Kingsley Zipf. Pp. xi, 573. Cambridge, Mass.: Addison-Wesley Press, 1949. (1950)Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)A Dynamic Mixture Model for Unsupervised Tail Estimation without Threshold Selection (2002)Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2006)Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)Models for Exceedances Over High Thresholds (1990)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)How to make a Hill plot (2000)Statistics of Extremes (2015)The Asymptotic Theory of Extreme Order Statistics (1990)Semi-parametric estimation for heavy tailed distributions (2009)A simple generalisation of the Hill estimator (2012)Selecting the optimal sample fraction in univariate extreme value estimation (1998)On maximum likelihood estimation of the extreme value index (2002)On optimising the estimation of high quantiles of a probability distribution (2003)On maximum likelihood estimation of the extreme value index (2004)Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2009)NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (2016)Heavy tail modeling and teletraffic data: special invited paper (1997)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels (2010)Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (2016)
this work references cited by second hop

References

  • 1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
  • 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
  • 1999Tail Index Estimation and an Exponential Regression Model275 cited
  • 1999Estimating a tail exponent by modelling departure from a Pareto distribution229 cited
  • 2002“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter157 cited
  • 1999A Bootstrap-based Method to Achieve Optimality in Estimating the Extreme-value Index120 cited
  • 1998Asymptotically unbiased estimators for the extreme-value index103 cited
  • 2000Alternatives to a Semi-Parametric Estimator of Parameters of Rare Events—The Jackknife Methodology*93 cited
  • 2002Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes79 cited
  • 2001Generalizations of the Hill estimator – asymptotic versus finite sample behaviour77 cited
  • 1998A general class of estimators of the extreme value index63 cited

Cited by

  • 2008A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator35 cited

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