Improved reduced-bias tail index and quantile estimators

Author:

Beirlant Jan,Figueiredo Fernanda,Ivette Gomes M.,Vandewalle Björn

Publisher

Elsevier BV

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference29 articles.

1. Tail index estimation and an exponential regression model;Beirlant;Extremes,1999

2. Statistics of Extremes;Beirlant,2004

3. A new class of estimators of the “scale” second order parameter;Caeiro;Extremes,2006

4. Direct reduction of bias of the classical Hill estimator;Caeiro;RevStat,2005

5. Statistical Inference;Casella,2002

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