Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes

By M. Ivette Gomes, Laurens de Haan, Liang Peng. 2002

98 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/22fcc974ddd790e4a57ab2610e0c0107a79888f1

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In Economics and Econometrics

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Citations in the corpus

Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels (2010, methodology): “We refer to (Gomes et al. 2003; Gomes et al. 2004) for estimators of the secondorder parameter in the unconditional case.”
Reduced-Bias Tail Index Estimators Under a Third-Order Framework (2009, methodology): “Such a condition has already been used in Gomes et al. (2002a) and Fraga Alves et al. (2003), for the full derivation of the asymptotic behavior of -estimators, in Gomes et al. (2004), for the study of a specific reduced-bias tail index estimator, and in Caeiro and Gomes (2008) for the study of…”
Bias correction in extreme value statistics with index around zero (2013, unknown): “(1998), Caeiro and Gomes (2002), Gomes and Martins (2002, 2004), Gomes et al. (2000, 2002, 2004, 2005, 2007).”
Comparison of Weibull tail-coefficient estimators (2011, unknown): “In regular case, as noted in [13], one can choose b(x) = x`(x)/`(x) leading to b(x) = xe F−1(1 − e−x)f(F−1(1 − e−x)) − θ, (3) where f is the density function associated to F .”
Statistics of Extremes (2004, methodology): “In this section, we focus on modern smoothing techniques such as maximum penalized likelihood estimation (Green and Silverman (1994)) and local polynomial maximum likelihood estimation (Fan and Gijbels (1996)) and combine these with the GP distribution as approximate model for exceedances over high ”
Banking System Stability (2007, unknown): “) The estimation of equation (4) with the de Haan et al. estimator (5) and the Hill estimator (6) has already been sketched in the main text. One may still want to remark that, technically, the “tail cut-off point” Cn–m,n in equation (5) is the (n – m)-th ascending order statistic from the cross-sec”