Estimating the First‐ and Second‐Order Parameters of a Heavy‐Tailed Distribution
By Liang Peng, Yongcheng Qi. 2004
46 citations recorded by the source corpus.
Subfields: Finance, Global and Planetary Change, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/f98a1f4e2257fc432b34682838585c687d591c55
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Jan Beirlant
- Frederico Caeiro
- M. Ivette Gomes
- Lígia Henriques Rodrigues
- Johan Segers
- E. Joossens
- R. Deidda
- Michelangelo Puliga
In Global and Planetary Change
- Michelangelo Puliga
- R. Deidda
- Jan Beirlant
- Frederico Caeiro
- M. Ivette Gomes
- Lígia Henriques Rodrigues
- E. Joossens
- Johan Segers
In Statistics and Probability
- M. Ivette Gomes
- Johan Segers
- Frederico Caeiro
- Lígia Henriques Rodrigues
- R. Deidda
- E. Joossens
- Michelangelo Puliga
- Jan Beirlant
Citations in the corpus
- A multiple threshold method for fitting the generalized Pareto distribution to rainfall time series (2010, background): “…several authors (e.g., Davison and Smith, 1990; Smith, 1994; Lang et al., 1999; Dupuis, 1998; Choulakian and Stephens, 2001; Guillou and Hall, 2001; Peng and Qi, 2004), but what can be assumed as an optimal threshold for rainfall observations is still an open question without a definitive answer.”
- Reduced-Bias Tail Index Estimators Under a Third-Order Framework (2009, background): “Note that Peng and Qi ( 2004 ) derived this same asymptotic variance for an approximate second-order maximum-likelihood tail index estimator.”
- Tail index estimation for heavy‐tailed models: accommodation of bias in weighted log‐excesses (2007, unknown): “1−ρ/4=ρ4 (Feuerverger and Hall, 1999; Peng and Qi, 2004).”
- Performances of some parameter estimators of the generalized Pareto distribution over rounded-off samples (2009, background): “…(2001), a paper by Peng and Qi (2004) proposes an alternative approach to the selection of an optimal threshold: rather than searching for the correct threshold, Peng and Qi (2004) look for powerful and robust estimators with moderated bias also for too low (or too high) values of the threshold.”
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions (2009, methodology): “In the same spirit as in this paper, a mixture model with two Pareto components was proposed in Peng and Qi (2004).”