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ArticleA general class of estimators of the extreme value index

Holger Drees1998

Article1998

A general class of estimators of the extreme value index

63 citations·0/0 files stored·Journal of Statistical Planning and Inference

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Probability and Risk Models Probability and Statistical Research Statistical Distribution Estimation and Applications

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References

1990The Asymptotic Theory of Extreme Order Statistics 1989A Moment Estimator for the Index of an Extreme-Value Distribution 1987Estimating Tails of Probability Distributions 1982On Some Simple Estimates of an Exponent of Regular Variation 1985Kernel Estimates of the Tail Index of a Distribution 1984Statistical Extremes and Applications 1985On Asymptotic Normality of Hill's Estimator for the Exponent of Regular Variation 1998On Smooth Statistical Tail Functionals

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2022Improving Second Order Reduced Bias Extreme Value Index Estimation 2009Reduced-Bias Tail Index Estimators Under a Third-Order Framework 2008Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions 1998Optimal rates of convergence for estimates of the extreme value index 2011Adaptive estimation of heavy right tails: resampling-based methods in action 2009

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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 · 11 shared references 2012A simple generalisation of the Hill estimatorarticle · 7 shared references 1998Estimating the tail indexchapter · 7 shared references 2001Confidence Intervals for the Tail Indexarticle · 7 shared references 1998Optimal rates of convergence for estimates of the extreme value indexarticle · 7 shared references 2019A Review of More than One Hundred Pareto-Tail Index Estimatorsarticle · 7 shared references

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Year1998

Typearticle

Published1998-01-01

VenueJournal of Statistical Planning and Inference

ISSN-L0378-3758

Languageen

Citations63

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ShelfProbability and Risk Models

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doi10.1016/s0378-3758(97)00076-1

openalex_workW2102673402

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Second-order refined peaks-over-threshold modelling for heavy-tailed distributions

2007Improved reduced-bias tail index and quantile estimators

2002Tail Empirical Processes Under Mixing Conditions