Semi-parametric second-order reduced-bias high quantile estimation
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Volume (Year): 18 (2009)
Issue (Month): 2 (August)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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;Sociedad de Estadística e Investigación Operativa, vol. 15(2), pages 375-396, September.
- 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.
- 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.
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