Semiparametric lower bounds for tail-index estimation
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Frank Marohn, 1997. "Local Asymptotic Normality in Extreme Value Index Estimation," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(4), pages 645-666, December.
- Csörgóo, Miklós & Horváth, Lajos, 1986. "Approximations of weighted empirical and quantile processes," Statistics & Probability Letters, Elsevier, vol. 4(6), pages 275-280, October.
- L. De Haan & L. Peng, 1998. "Comparison of tail index estimators," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 52(1), pages 60-70, 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.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Haeusler, E. & Segers, J., 2005. "Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator," Other publications TiSEM e635c476-8fa8-4f16-8760-2, Tilburg University, School of Economics and Management.
- João Nicolau & Paulo M. M. Rodrigues, 2019. "A New Regression-Based Tail Index Estimator," The Review of Economics and Statistics, MIT Press, vol. 101(4), pages 667-680, October.
- Mercadier, Cécile & Soulier, Philippe, 2012. "Optimal rates of convergence in the Weibull model based on kernel-type estimators," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 548-556.
- Gardes, Laurent & Girard, Stéphane, 2016. "On the estimation of the functional Weibull tail-coefficient," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 29-45.
- Xiao Wang & Lihong Wang, 2024. "A tail index estimation for long memory processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 87(8), pages 947-971, November.
- Haeusler, E. & Segers, J., 2005. "Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator," Discussion Paper 2005-129, Tilburg University, Center for Economic Research.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Igor Fedotenkov, 2020.
"A Review of More than One Hundred Pareto-Tail Index Estimators,"
Statistica, Department of Statistics, University of Bologna, vol. 80(3), pages 245-299.
- Fedotenkov, Igor, 2018. "A review of more than one hundred Pareto-tail index estimators," MPRA Paper 90072, University Library of Munich, Germany.
- 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.
- Christian Schluter, 2021.
"On Zipf’s law and the bias of Zipf regressions,"
Empirical Economics, Springer, vol. 61(2), pages 529-548, August.
- Christian Schluter, 2021. "On Zipf’s law and the bias of Zipf regressions," Post-Print hal-02880544, HAL.
- Ghosh, Souvik & Resnick, Sidney, 2010. "A discussion on mean excess plots," Stochastic Processes and their Applications, Elsevier, vol. 120(8), pages 1492-1517, August.
- Chao Huang & Jin-Guan Lin & Yan-Yan Ren, 2012. "Statistical Inferences for Generalized Pareto Distribution Based on Interior Penalty Function Algorithm and Bootstrap Methods and Applications in Analyzing Stock Data," Computational Economics, Springer;Society for Computational Economics, vol. 39(2), pages 173-193, February.
- Geluk, J. L. & Peng, Liang, 2000. "An adaptive optimal estimate of the tail index for MA(l) time series," Statistics & Probability Letters, Elsevier, vol. 46(3), pages 217-227, February.
- 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.
- Hsieh, Ping-Hung, 2002. "An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 263-283, August.
- Yongcheng Qi, 2010. "On the tail index of a heavy tailed distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(2), pages 277-298, April.
- Natalia Markovich & Marijus Vaičiulis, 2023. "Extreme Value Statistics for Evolving Random Networks," Mathematics, MDPI, vol. 11(9), pages 1-35, May.
- A. Dematteo & S. Clémençon, 2016. "On tail index estimation based on multivariate data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 152-176, March.
- Pere, Jaakko & Ilmonen, Pauliina & Viitasaari, Lauri, 2024. "On extreme quantile region estimation under heavy-tailed elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
- Neves, Claudia & Fraga Alves, M. I., 2004. "Reiss and Thomas' automatic selection of the number of extremes," Computational Statistics & Data Analysis, Elsevier, vol. 47(4), pages 689-704, November.
- Hüsler, Jürg & Li, Deyuan & Müller, Samuel, 2006. "Weighted least squares estimation of the extreme value index," Statistics & Probability Letters, Elsevier, vol. 76(9), pages 920-930, May.
- Lígia Henriques-Rodrigues & Frederico Caeiro & M. Ivette Gomes, 2024. "A New Class of Reduced-Bias Generalized Hill Estimators," Mathematics, MDPI, vol. 12(18), pages 1-18, September.
- 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.
- Andrey Pepelyshev & Anatoly Zhigljavsky & Antanas Žilinskas, 2018. "Performance of global random search algorithms for large dimensions," Journal of Global Optimization, Springer, vol. 71(1), pages 57-71, May.
- 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.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- He, Xue-Zhong & Li, Youwei, 2015.
"Testing of a market fraction model and power-law behaviour in the DAX 30,"
Journal of Empirical Finance, Elsevier, vol. 31(C), pages 1-17.
- Xue-Zhong He & Youwei Li, 2015. "Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30," Research Paper Series 354, Quantitative Finance Research Centre, University of Technology, Sydney.
Corrections
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:tiu:tiutis:4f434455-72a7-4b68-b972-d75c78625737. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.