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Semi-parametric estimation for heavy tailed distributions · Study

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ArticleSemi-parametric estimation for heavy tailed distributions

Gabriela Ciuperca2009

OA

Articlegreen2009

Semi-parametric estimation for heavy tailed distributions

Gabriela Ciuperca · Cécile Mercadier

64 citations·0/0 files stored·Extremes

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Probability and Risk Models Statistical Distribution Estimation and Applications Statistical Methods and Inference

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References

1982On Some Simple Estimates of an Exponent of Regular Variation 2006Extreme Value Theory 1985Kernel Estimates of the Tail Index of a Distribution 1998Selecting the optimal sample fraction in univariate extreme value estimation 1996The qq-estimator and heavy tails 1998On Smooth Statistical Tail Functionals 1996Excess Functions and Estimation of the Extreme-Value Index 1999A Bootstrap-based Method to Achieve Optimality in Estimating the Extreme-value Index

Cited by

2022Overview and Open Research Topics in Statistics of Univariate Extremes 2016Adapting extreme value statistics to financial time series: dealing with bias and serial dependence 2010Kernel estimators for the second order parameter in extreme value statistics 2011Adaptive estimation of heavy right tails: resampling-based methods in action 2013Nonparametric regression estimation of conditional tails: the random covariate case

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2008Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributionsarticle · 10 shared references 2005Estimation of the extreme-value index and generalized quantile plotsarticle · 8 shared references 2022Overview and Open Research Topics in Statistics of Univariate Extremesarticle · 8 shared references 2012A simple generalisation of the Hill estimatorarticle · 6 shared references 1998Estimating the tail indexchapter · 6 shared references 1998Asymptotically unbiased estimators for the extreme-value indexarticle · 5 shared references

Details

Year2009

Typearticle

Published2009-05-06

VenueExtremes

ISSN-L1386-1999

Languageen

Citations64

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s10687-009-0086-6

openalex_workW2008644389

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