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Semi-parametric second-order reduced-bias high quantile estimation

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  • Frederico Caeiro

    ()

  • M. Gomes

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11749-008-0108-8
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    Bibliographic Info

    Article provided by Springer in its journal TEST.

    Volume (Year): 18 (2009)
    Issue (Month): 2 (August)
    Pages: 392-413

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    Handle: RePEc:spr:testjl:v:18:y:2009:i:2:p:392-413

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    Web page: http://www.springerlink.com/link.asp?id=120411

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    Related research

    Keywords: Heavy tails; High quantiles; Semi-parametric estimation; Statistics of extremes; 62G32; 62E20; 65C05;

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    1. M. Ivette Gomes & Laurens de Haan & Lígia Henriques Rodrigues, 2008. "Tail index estimation for heavy-tailed models: accommodation of bias in weighted log-excesses," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(1), pages 31-52.
    2. M. Gomes & Fernanda Figueiredo, 2006. "Bias reduction in risk modelling: Semi-parametric quantile estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 15(2), pages 375-396, September.
    3. Matthys, Gunther & Delafosse, Emmanuel & Guillou, Armelle & Beirlant, Jan, 2004. "Estimating catastrophic quantile levels for heavy-tailed distributions," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 517-537, June.
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