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A class of new tail index estimators
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A class of new tail index estimators (2015)A class of new tail index estimatorsThe harmonic moment tail index estimator: asymptotic distribution and robustness (2013)The harmonic moment tail inde…On an improvement of Hill and some other estimators (2013)On an improvement of Hill and…A simple generalisation of the Hill estimator (2012)A simple generalisation of th…On the favorable estimation for fitting heavy tailed data (2010)On the favorable estimation f…A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator (2008)A note on the asymptotic vari…Extreme Value Theory : An Introduction (2006)Extreme Value Theory : An Int…Extreme value theory : an introduction (2006)Extreme value theory : an int…“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…Comparison of tail index estimators (1998)Comparison of tail index esti…A general class of estimators of the extreme value index (1998)A general class of estimators…The method of moments ratio estimator for the tail shape parameter (1996)The method of moments ratio e…Optimal Choice of Sample Fraction in Extreme-Value Estimation (1993)Optimal Choice of Sample Frac…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…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)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme Value Theory (2006)Semi-parametric estimation for heavy tailed distributions (2009)Overview and Open Research Topics in Statistics of Univariate Extremes (2022)Estimating Tails of Probability Distributions (1987)Asymptotically unbiased estimators for the extreme-value index (1998)Alternatives to a Semi-Parametric Estimator of Parameters of Rare Events—The Jackknife Methodology* (2000)Modelling Extremal Events (1997)Statistics of Extremes (2004)Weak properties and robustness of t-Hill estimators (2016)A Review of More than One Hundred Pareto-Tail Index Estimators (2019)A size-of-loss model for the negatively skewed insurance claims data: applications, risk analysis using different methods and statistical forecasting (2022)Statistics of Extremes: Theory and Applications (2004)Tail fitting for truncated and non-truncated Pareto-type distributions (2016)Dichotomous unimodal compound models: application to the distribution of insurance losses (2020)Power-Law Distributions in Empirical Data (2009)Power-law distributions in empirical data (2018)Statistics for near independence in multivariate extreme values (1996)Dependence Measures for Extreme Value Analyses (1999)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Smoothing the Hill Estimator (1997)The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction (2001)On the tails of extreme event distributions in hydrology (2008)Stationary max-stable fields associated to negative definite functions (2009)Statistical Modeling of Spatial Extremes (2012)Risk management with expectiles (2015)
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References

  • 2006Extreme Value Theory : An Introduction1,564 cited
  • 2006Extreme value theory : an introduction1,291 cited
  • 1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
  • 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
  • 1998Comparison of tail index estimators226 cited
  • 2002“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter157 cited
  • 1993Optimal Choice of Sample Fraction in Extreme-Value Estimation104 cited
  • 2001Generalizations of the Hill estimator – asymptotic versus finite sample behaviour77 cited
  • 2013The harmonic moment tail index estimator: asymptotic distribution and robustness72 cited
  • 2012A simple generalisation of the Hill estimator69 cited
  • 1998A general class of estimators of the extreme value index63 cited
  • 2010On the favorable estimation for fitting heavy tailed data56 cited
  • 1996The method of moments ratio estimator for the tail shape parameter50 cited
  • 2013On an improvement of Hill and some other estimators41 cited
  • 2008A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator35 cited

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