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Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes · Study

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ArticleSemi-parametric Estimation of the Second Order Parameter in Statistics of Extremes

M. Ivette Gomes2002

Article2002

Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes

M. Ivette Gomes · Laurens de Haan · Liang Peng

79 citations·0/0 files stored·Extremes

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 79 citations exist upstream.

References

1989A Moment Estimator for the Index of an Extreme-Value Distribution 2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 1999Tail Index Estimation and an Exponential Regression Model 1998Selecting the optimal sample fraction in univariate extreme value estimation 1999Estimating a tail exponent by modelling departure from a Pareto distribution 1996Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics 2002“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter 2001The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction

Cited by

2010Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels 2009Semi-parametric estimation for heavy tailed distributions 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 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 2006A simple second-order reduced bias’ tail index estimator 2007A new class of estimators of a “scale” second order parameter

Details

Year2002

Typearticle

Published2002-12-01

VenueExtremes

ISSN-L1386-1999

Languageen

Citations79

Files0 public / 0

ShelfProbability and Risk Models

Identifiers

doi10.1023/a:1025128326588

openalex_workW35011081

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