Asymptotic Expansions of Estimators for the Tail Index with Applications (original) (raw)
Related papers
A New Estimator for a Tail Index
2003
Once more on comparison of tail index estimators
Bias-corrected geometric-type estimators of the tail index
Journal of Physics A: Mathematical and Theoretical
Several new tail index estimators
A class of asymptotically unbiased semi-parametric estimators of the tail index
Test, 2002
Tail index estimation for heavy tails: accommodation of bias in the excesses over a high threshold
Extremes, 2008
Bias reduction and explicit semi-parametric estimation of the tail index
Journal of Statistical Planning and Inference, 2004
Regression Estimator for the Tail Index
Journal of Statistical Theory and Practice
Asymptotic distribution of a Pickands-type estimator of the extreme-value index
Comptes Rendus Mathematique, 2005
A Class of Semiparametric Tail Index Estimators and Its Applications
Automation and Remote Control, 2019
Generalized jackknife semi-parametric estimators of the tail index
2002
Regression estimators for the tail index
Acta Scientiarum Mathematicarum, 2021
Modification of Moment-Based Tail Index Estimator: Sums Versus Maxima
Nonparametric Statistics, 2018
On comparison of the tail index of heavy-tail distributions using Pitman’s measure of closeness
2007
A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold
Afrika Statistika, 2017
On the comparison of several classical estimators of the extreme value index
Communications in Statistics - Theory and Methods, 2020
Revisiting the Role of the Jackknife Methodology in the Estimation of a Positive Tail Index
M Cristina Miranda, Ivette Gomes
Communications in Statistics - Theory and Methods, 2005
A New Regression-Based Tail Index Estimator
The Review of Economics and Statistics, 2018
Estimation of Tails and Related Quantities Using the Number of Near-Extremes
Communications in Statistics - Theory and Methods, 2005
A Pickands type estimator of the extreme value index
arXiv: Probability, 2004
Weibull tail-distributions revisited: A new look at some tail estimators
Journal of Statistical Planning and Inference, 2011
On the estimation of the second order parameter for heavy-tailed distributions
Improved reduced-bias tail index and quantile estimators
Journal of Statistical Planning and Inference, 2008
Improved Reduced Bias Tail Index and Quantile Estimators.Notas e Comunicações, CEAUL 5/2006
2006
Journal of Statistical Theory and Practice, 2018
Estimation of the Tail Index of Pareto-Type Distributions Using Regularisation
Journal of Mathematics
Estimation problems for distributions with heavy tails
Journal of Statistical Planning and Inference, 2004
Reduced-Bias Tail Index Estimators Under a Third-Order Framework
Communications in Statistics - Theory and Methods, 2009
On the asymptotic normality of Hill's estimator of the tail index under random censoring
2013
Asymptotically unbiased estimation of the second order tail parameter
Statistics & Probability Letters, 2012
Discussiones Mathematicae Probability and Statistics, 2010
Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions
Dependence Modeling, 2019
Statistics, 2004
On an improvement of Hill and some other estimators
Lithuanian Mathematical Journal, 2013
A test for comparing tail indices for heavy tailed distributions via empirical likelihood