Tail index estimation for heavy-tailed models : accommodation of bias in weighted log-excesses
- Author
- GOMES, M. Ivette1 ; DE HAAN, Laurens1 2 ; RODRIGUES, Ligia Henriques3
[1] Universidade de Lisboa, Portugal
[2] Erasmus University of Rotterdam, Netherlands
[3] Instituto Politécnico de Tomar and Universidade de Lisboa, Portugal - Source
Journal of the Royal Statistical Society. Series B, statistical methodology. 2008, Vol 70, pp 31-52, 22 p ; 1 ; ref : 1 p
- ISSN
- 1369-7412
- Scientific domain
- Mathematics
- Publisher
- Blackwell, Oxford
- Publication country
- United Kingdom
- Document type
- Article
- Language
- English
- Author keyword
- Heavy tails Log-excesses Maximum likelihood Semiparametric estimation Statistics of extremes
- Keyword (fr)
- Analyse covariance Analyse numérique Analyse variance Comportement asymptotique Distribution statistique Erreur systématique Estimation biaisée Estimation non paramétrique Estimation statistique Finance Maximum vraisemblance Méthode Monte Carlo Méthode semiparamétrique Méthode statistique Méthode stochastique Paramètre dispersion Paramètre ordre Queue distribution Queue lourde Régression statistique Théorie approximation Valeur extrême 62E17 62F12 62G20 62G32 62J10 62P05 65C05 Biais asymptotique Estimation paramétrique Estimation variance Paramètre forme Sciences actuarielles Variance asymptotique
- Keyword (en)
- Covariance analysis Numerical analysis Variance analysis Asymptotic behavior Statistical distribution Bias Biased estimation Non parametric estimation Statistical estimation Finance Maximum likelihood Monte Carlo method Semiparametric method Statistical method Stochastic method Scale parameter Order parameter Distribution tail Heavy tail Statistical regression Approximation theory Extreme value Asymptotic bias Variance estimation Shape parameter Asymptotic variance
- Keyword (es)
- Análisis covariancia Análisis numérico Análisis variancia Comportamiento asintótico Distribución estadística Error sistemático Estimación sesgada Estimación no paramétrica Estimación estadística Finanzas Maxima verosimilitud Método Monte Carlo Método semiparamétrico Método estadístico Método estocástico Parámetro dispersión Parámetro orden Cola distribución Cola pesada Regresión estadística Valor extremo
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02A General topics
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02G Parametric inference
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02H Nonparametric inference
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02J Linear inference, regression
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 20021089
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1111/j.1467-9868.2007.00620.x 
https://dx.doi.org/10.1111/j.1467-9868.2007.00620.x
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