Bias reduction and explicit semi-parametric estimation of the tail index
- 1 September 2004
- journal article
- Published by Elsevier in Journal of Statistical Planning and Inference
- Vol. 124 (2) , 361-378
Abstract
No abstract availableKeywords
This publication has 10 references indexed in Scilit:
- Maximum likelihood revisited under a semi-parametric context - estimation of the tail indexJournal of Statistical Computation and Simulation, 2003
- “Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order ParameterExtremes, 2002
- The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample FractionExtremes, 2001
- Generalizations of the Hill estimator – asymptotic versus finite sample behaviourJournal of Statistical Planning and Inference, 2001
- Alternatives to a Semi-Parametric Estimator of Parameters of Rare Events—The Jackknife Methodology*Extremes, 2000
- Tail Index Estimation and an Exponential Regression ModelExtremes, 1999
- Estimating a tail exponent by modelling departure from a Pareto distributionThe Annals of Statistics, 1999
- Comparison of tail index estimatorsStatistica Neerlandica, 1998
- Adaptive Estimates of Parameters of Regular VariationThe Annals of Statistics, 1985
- A Simple General Approach to Inference About the Tail of a DistributionThe Annals of Statistics, 1975