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Direct Reduction of Bias of the Classical Hill Estimator

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References

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
1998Comparison of tail index estimators226 cited
2002“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter157 cited

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2008Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions57 cited
2014New estimators of the extreme value index under random right censoring, for heavy-tailed distributions50 cited
2022Peaks Over Random Threshold Methodology for Tail Index and High Quantile Estimation50 cited
2006A simple second-order reduced bias’ tail index estimator48 cited
2007A new class of estimators of a “scale” second order parameter48 cited

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2008Mixed moment estimator and location invariant alternatives47 cited

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

2012Bias correction in extreme value statistics with index around zero44 cited

2007Improved reduced-bias tail index and quantile estimators41 cited

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