A moment estimator for the index of an extreme-value distribution

Citations

Cited by:

1. Christian Schluter & Mark Trede, 2019. "Size distributions reconsidered," Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 695-710, July.
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2. Cai, J., 2012. "Estimation concerning risk under extreme value conditions," Other publications TiSEM a92b089f-bc4c-41c2-b297-c, Tilburg University, School of Economics and Management.
3. Bertail, Patrice & Haefke, Christian & Politis, D.N.Dimitris N. & White, Halbert, 2004. "Subsampling the distribution of diverging statistics with applications to finance," Journal of Econometrics, Elsevier, vol. 120(2), pages 295-326, June.
   • Patrice Bertail & Dimitris Politis & Haeffke Christian & Halbert White, 2004. "Subsampling the distribution of diverging statistics with applications to finance," Post-Print hal-03148840, HAL.
4. Ana-Maria Gavril, 2009. "Exchange Rate Risk: Heads or Tails," Advances in Economic and Financial Research - DOFIN Working Paper Series 35, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
5. Barunik, Jozef & Vacha, Lukas, 2010. "Monte Carlo-based tail exponent estimator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4863-4874.
   • Jozef Barunik & Lukas Vacha, 2010. "Monte Carlo-Based Tail Exponent Estimator," Working Papers IES 2010/06, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2010.
   • Jozef Barunik & Lukas Vacha, 2012. "Monte Carlo-based tail exponent estimator," Papers 1201.4781, arXiv.org.
6. Brito, Margarida & Freitas, Ana Cristina Moreira, 2008. "Edgeworth expansion for an estimator of the adjustment coefficient," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 203-208, October.
7. Einmahl, John H.J. & de Haan, Laurens & Sinha, Ashoke Kumar, 1997. "Estimating the spectral measure of an extreme value distribution," Stochastic Processes and their Applications, Elsevier, vol. 70(2), pages 143-171, October.
   • J Einmahl, .H. & de Haan, L. & Sinha, A., 1997. "Estimating the spectral measure of an extreme value distribution," Other publications TiSEM ac22e123-1e5d-448a-981e-a, Tilburg University, School of Economics and Management.
8. Goix, Nicolas & Sabourin, Anne & Clémençon, Stephan, 2017. "Sparse representation of multivariate extremes with applications to anomaly detection," Journal of Multivariate Analysis, Elsevier, vol. 161(C), pages 12-31.
9. Einmahl, John H. J., 1997. "Poisson and Gaussian approximation of weighted local empirical processes," Stochastic Processes and their Applications, Elsevier, vol. 70(1), pages 31-58, October.
   • Einmahl, J.H.J., 1997. "Poisson and Gaussian approximation of weighted local empirical processes," Other publications TiSEM 07d934b9-2bd4-474a-bf32-f, Tilburg University, School of Economics and Management.
10. Patrick de Fontnouvelle & Eric Rosengren & John Jordan, 2007. "Implications of Alternative Operational Risk Modeling Techniques," NBER Chapters, in: The Risks of Financial Institutions, pages 475-505, National Bureau of Economic Research, Inc.
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    • Patrick de Fontnouvelle & John Jordan & Eric Rosengren, 2005. "Implications of Alternative Operational Risk Modeling Techniques," NBER Working Papers 11103, National Bureau of Economic Research, Inc.
11. Drees, Holger & Kaufmann, Edgar, 1998. "Selecting the optimal sample fraction in univariate extreme value estimation," Stochastic Processes and their Applications, Elsevier, vol. 75(2), pages 149-172, July.
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13. Fátima Brilhante, M. & Ivette Gomes, M. & Pestana, Dinis, 2013. "A simple generalisation of the Hill estimator," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 518-535.
14. David Anthoff & Richard S. J. Tol, 2022. "Testing the Dismal Theorem," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 9(5), pages 885-920.
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15. Silvia Caserta & Casper G. de Vries, 2005. "Auctions with Numerous Bidders," Tinbergen Institute Discussion Papers 05-031/2, Tinbergen Institute.
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    • Einmahl, J.H.J. & Smeets, S.G.W.R., 2009. "Ultimate 100m World Records Through Extreme-Value Theory," Other publications TiSEM d16c8bbc-772e-42e1-8d8e-3, Tilburg University, School of Economics and Management.
    • Einmahl, J.H.J. & Smeets, S.G.W.R., 2009. "Ultimate 100m World Records Through Extreme-Value Theory," Discussion Paper 2009-57, Tilburg University, Center for Economic Research.
17. Cai, J. & Einmahl, J.H.J. & de Haan, L.F.M., 2011. "Estimation of extreme risk regions under multivariate regular variation," Other publications TiSEM b7a72a8d-f9bc-4129-ae9b-a, Tilburg University, School of Economics and Management.
18. Mengheng Li & Siem Jan Koopman, 2021. "Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 614-627, August.
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26. Einmahl, J.H.J. & Li, Jun & Liu, Regina, 2015. "Bridging Centrality and Extremity : Refining Empirical Data Depth using Extreme Value Statistics," Discussion Paper 2015-020, Tilburg University, Center for Economic Research.
    • Einmahl, J.H.J. & Li, Jun & Liu, Regina, 2015. "Bridging Centrality and Extremity : Refining Empirical Data Depth using Extreme Value Statistics," Other publications TiSEM bcd9783a-e07e-4da2-bc47-b, Tilburg University, School of Economics and Management.
27. Moosup Kim & Sangyeol Lee, 2011. "Change point test for tail index for dependent data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 74(3), pages 297-311, November.
28. Zhou, Chen, 2009. "Existence and consistency of the maximum likelihood estimator for the extreme value index," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 794-815, April.
29. Ameraoui, Abdelkader & Boukhetala, Kamal & Dupuy, Jean-François, 2016. "Bayesian estimation of the tail index of a heavy tailed distribution under random censoring," Computational Statistics & Data Analysis, Elsevier, vol. 104(C), pages 148-168.
30. Christian Schluter, 2021. "On Zipf’s law and the bias of Zipf regressions," Empirical Economics, Springer, vol. 61(2), pages 529-548, August.
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31. Daouia, Abdelaati & Florens, Jean-Pierre & Simar, Léopold, 2009. "Frontier Estimation and Extreme Values Theory," TSE Working Papers 10-165, Toulouse School of Economics (TSE).
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32. Einmahl, John & He, Y., 2022. "Extreme Value Inference for General Heterogeneous Data," Other publications TiSEM fd8dd91c-086f-40e6-ac29-3, Tilburg University, School of Economics and Management.
33. Jan Beirlant & Andrzej Kijko & Tom Reynkens & John H. J. Einmahl, 2019. "Estimating the maximum possible earthquake magnitude using extreme value methodology: the Groningen case," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 98(3), pages 1091-1113, September.
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34. Einmahl, J.H.J. & Li, J. & Liu, R.Y., 2006. "Extreme Value Theory Approach to Simultaneous Monitoring and Thresholding of Multiple Risk Indicators," Discussion Paper 2006-104, Tilburg University, Center for Economic Research.
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    • Einmahl, J.H.J. & Magnus, J.R., 2006. "Records in Athletics through Extreme-Value Theory," Discussion Paper 2006-83, Tilburg University, Center for Economic Research.
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55. Einmahl, J.H.J. & de Haan, L.F.M. & Krajina, A., 2009. "Estimating Extreme Bivariate Quantile Regions," Discussion Paper 2009-29, Tilburg University, Center for Economic Research.
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56. Einmahl, J.H.J. & Fils-Villetard, A. & Guillou, A., 2006. "Statistics of Extremes under Random Censoring," Other publications TiSEM 62d47475-e6e9-43d6-9461-5, Tilburg University, School of Economics and Management.
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