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A simple generalisation of the Hill estimator

  • Published:2013-01 Issue:1 Volume:57 Page:518-535
  • ISSN:0167-9473
  • Container-title:Computational Statistics & Data Analysis
  • language:en
  • Short-container-title:Computational Statistics & Data Analysis

Author:

Fátima Brilhante M.,Ivette Gomes M.,Pestana Dinis

Funder

National Funds

FCT—Fundação para a Ciência e a Tecnologia

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference49 articles.

1. Peaks over random threshold methodology for tail index and quantile estimation;Araújo Santos;REVSTAT,2006

2. An overview and open researh topics in statistics of univariate extremes;Beirlant;REVSTAT,2012

3. Estimation of the extreme-value index and generalized quantile plots;Beirlant;Bernoulli,2005

4. Improved reduced-bias tail index and quantile estimators;Beirlant;J. Statist. Plann. Inference,2008

5. Statistics of Extremes, Theory and Applications;Beirlant,2004

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