A New Class of Reduced-Bias Generalized Hill Estimators
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- 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.
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- M. Ivette Gomes & Armelle Guillou, 2015. "Extreme Value Theory and Statistics of Univariate Extremes: A Review," International Statistical Review, International Statistical Institute, vol. 83(2), pages 263-292, August.
- Jan Beran & Dieter Schell & Milan Stehlík, 2014. "The harmonic moment tail index estimator: asymptotic distribution and robustness," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(1), pages 193-220, February.
- Ivanilda Cabral & Frederico Caeiro & M. Ivette Gomes, 2022. "On the comparison of several classical estimators of the extreme value index," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(1), pages 179-196, January.
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Keywords
statistics of extremes; generalized means; reduced-bias estimators; extreme value index; asymptotic properties; Monte Carlo simulation;All these keywords.
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