A simple generalisation of the Hill estimator
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Beran, Jan & Schell, Dieter, 2012. "On robust tail index estimation," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3430-3443.
- Dekkers, A. L. M. & Dehaan, L., 1993. "Optimal Choice of Sample Fraction in Extreme-Value Estimation," Journal of Multivariate Analysis, Elsevier, vol. 47(2), pages 173-195, November.
- Gomes, M. Ivette & Pestana, Dinis, 2007. "A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 280-292, March.
- Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
- 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.
- M. Ivette Gomes & Cristina Miranda & Clara Viseu, 2007. "Reduced-bias tail index estimation and the jackknife methodology," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 61(2), pages 243-270.
- MacDonald, A. & Scarrott, C.J. & Lee, D. & Darlow, B. & Reale, M. & Russell, G., 2011. "A flexible extreme value mixture model," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2137-2157, June.
- Vandewalle, B. & Beirlant, J., 2006. "On univariate extreme value statistics and the estimation of reinsurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 441-459, June.
- Gomes, M. Ivette & Neves, Cláudia, 2008. "Asymptotic comparison of the mixed moment and classical extreme value index estimators," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 643-653, April.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gomes, M. Ivette & Henriques-Rodrigues, Lígia, 2016. "Competitive estimation of the extreme value index," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 128-135.
- Gomes, M. Ivette & Brilhante, M. Fátima & Caeiro, Frederico & Pestana, Dinis, 2015. "A new partially reduced-bias mean-of-order p class of extreme value index estimators," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 223-237.
- Vygantas Paulauskas & Marijus Vaičiulis, 2017. "A class of new tail index estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(2), pages 461-487, April.
More about this item
KeywordsBias estimation; Bootstrap methodology; Heavy tails; Optimal levels; Semi-parametric estimation; Statistics of extremes;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:57:y:2013:i:1:p:518-535. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/csda .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.