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A general class of estimators of the extreme value index

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References

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Cited by

2022Improving Second Order Reduced Bias Extreme Value Index Estimation60 cited
2009Reduced-Bias Tail Index Estimators Under a Third-Order Framework58 cited

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2008

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

57 cited

1998Optimal rates of convergence for estimates of the extreme value index50 cited

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

2009Second-order refined peaks-over-threshold modelling for heavy-tailed distributions43 cited

2007Improved reduced-bias tail index and quantile estimators41 cited

2002Tail Empirical Processes Under Mixing Conditions40 cited

2019A Review of More than One Hundred Pareto-Tail Index Estimators39 cited

2004Bias reduction of a tail index estimator through an external estimation of the second-order parameter37 cited

2019Identifying groups of variables with the potential of being large simultaneously27 cited