Results 11 to 20 of about 8,231 (239)
Revstat Statistical Journal, 2011 Sousa and Michailidis (2004) developed the sum plot based on the Hill (1975) estimator as a diagnostic tool for selecting the optimal k when the distribution is heavy tailed.
J. Beirlant , E. Boniphace , G. Dierckx
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Direct Reduction of Bias of the Classical Hill Estimator
Revstat Statistical Journal, 2005 In this paper we are interested in an adequate estimation of the dominant component of the bias of Hill’s estimator of a positive tail index γ, in order to remove it from the classical Hill estimator in different asymptotically equivalent ways.
Frederico Caeiro +2 more
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A Couple of Non Reduced Bias Generalized Means in Extreme Value Theory
Revstat Statistical Journal, 2020 Lehmer’s mean-of-order p (Lp) generalizes the arithmetic mean, and Lp extreme value index (EVI)-estimators can be easily built, as a generalization of the classical Hill EVI-estimators. Apart from a reference to the asymptotic behaviour of this class of
Helena Penalva +3 more
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Estimation of heavy tails in optical non-linear processes
New Journal of Physics, 2021 In optical non-linear processes, rogue waves can be observed, which can be mathematically described by heavy-tailed distributions. These distributions are special since the probability of registering extremely high intensities is significantly higher ...
Éva Rácz +2 more
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A Method for Confidence Intervals of High Quantiles
Entropy, 2021 The high quantile estimation of heavy tailed distributions has many important applications. There are theoretical difficulties in studying heavy tailed distributions since they often have infinite moments.
Mei Ling Huang, Xiang Raney-Yan
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Improvements in the Estimation of a Heavy Tail
Revstat Statistical Journal, 2006 In this paper, and in a context of regularly varying tails, we suggest new tail index estimators, which provide interesting alternatives to the classical Hill estimator of the tail index γ.
Orlando Oliveira +2 more
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Tail prepivoting for the Hill estimator [PDF]
Journal of Physics A: Mathematical and Theoretical, 2016 It is well known that prepivoting reduces level error of confidence sets. We adapt this method to the context of the tail index estimation, introducing a procedure that we call tail prepivoting. We apply this procedure to the Hill estimator and establish its consistency.
Margarida Brito +2 more
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Estimation Pareto tail index based on sample means
Revstat Statistical Journal, 2004 We propose an estimator of the Pareto tail index m of a distribution, that competes well with the Hill, Pickands and moment estimators. Unlike the above estimators, that are based only on the extreme observations, the proposed estimator uses all ...
Alena Fialová +2 more
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Using Shrinkage Estimators to Reduce Bias and MSE in Estimation of Heavy Tails
Revstat Statistical Journal, 2019 Bias reduction in tail estimation has received considerable interest in extreme value analysis. Estimation methods that minimize the bias while keeping the mean squared error (MSE) under control, are especially useful when applying classical methods ...
Jan Beirlant +2 more
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Frontiers in Bioengineering and Biotechnology, 2021 Real-time biofeedback of muscle forces should help clinicians adapt their movement recommendations. Because these forces cannot directly be measured, researchers have developed numerical models and methods informed by electromyography (EMG) and body ...
François Bailly +5 more
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