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Mean-of-Order-p Location-Invariant Extreme Value Index Estimation
Revstat Statistical Journal, 2016 A simple generalisation of the classical Hill estimator of a positive extreme value index (EVI) has been recently introduced in the literature. Indeed, the Hill estimator can be regarded as the logarithm of the mean of order p = 0 of a certain set of ...
M. Ivette Gomes +2 more
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Adapting the Hill estimator to distributed inference: dealing with the bias
Extremes, 2022 The distributed Hill estimator is a divide-and-conquer algorithm for estimating the extreme value index when data are stored in multiple machines. In applications, estimates based on the distributed Hill estimator can be sensitive to the choice of the number of the exceedance ratios used in each machine.
Liujun Chen, Deyuan Li, Chen Zhou
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Streamflow characteristics of Sangu-Matamuhuri watershed in the southeastern part of Bangladesh
Heliyon, 2023 Quantification of streamflow chatacteristics is considered crucial for designing effective management practices in a watershed. Sangu and Matamuhuri are two major rivers of Chittagong Hill Tracts (CHT's) and main sources of upland freshwater inflows to ...
Ajit Kumar Rudra, A.K.M. Rashidul Alam
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Scarce Sample-Based Reliability Estimation and Optimization Using Importance Sampling
Mathematical and Computational Applications, 2022 Importance sampling is a variance reduction technique that is used to improve the efficiency of Monte Carlo estimation. Importance sampling uses the trick of sampling from a distribution, which is located around the zone of interest of the primary ...
Kiran Pannerselvam +2 more
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Asymptotic behavior of hill's estimator for autoregressive data [PDF]
Communications in Statistics. Stochastic Models, 1997 Summary: Consider a stationary, \(p\)\,th order autoregression \(\{X_n\},\;n=0,\pm1,\pm2,\dots\), satisfying \(X_n=\sum^p_{i=1}\phi_iX_{n-i}+Z_n\), whose innovation sequence \(\{Z_n\}\) is i.i.d. with regularly varying tail probabilities of index \(-\alpha\).
Resnick, Sidney, Stărică, Cătălin
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Parameter Estimation for the Log-Logistic Distribution Based on Order Statistics
Revstat Statistical Journal, 2018 In this paper, we discuss the moments and product moments of the order statistics in a sample of size n drawn from the log-logistic distribution. We provide more compact forms for the mean, variance and covariance of order statistics.
Mohammad Ahsanullah , Ayman Alzaatreh
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Maximum lq-likelihood estimator of the heavy-tailed distribution parameter
Croatian Review of Economic, Business and Social StatisticsStudying the extreme value theory (EVT) involves multiple main objectives, among them the estimation of the tail index parameter. Some estimation methods are used to estimate the tail index parameter like maximum likelihood estimation (MLE). Additionally,
Mohammed Ridha Kouider +3 more
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Revstat Statistical Journal, 2008 In this paper the relation between goodness-of-fit testing and the optimal selection of the sample fraction for tail estimation, for instance using Hill’s estimator, is examined.
Yuri Goegebeur +2 more
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Estimates for the Hill Operator, I
Journal of Differential Equations, 2000 The author studies one-dimensional Schrödinger operators \(-d^2/dx^2 + q(x)\) with periodic potentials \(q(x)=q(x+1)\), normalized by \(\int_0^1 q(x) dx = 0\). He proves various estimates involving the \(L_2(0,1)\) norm of the potential and some spectral data. Typical of his results is the following: Let \(\gamma = (\gamma_n)\) be a sequence of the gap
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A New Class of Reduced-Bias Generalized Hill Estimators
MathematicsThe estimation of the extreme value index (EVI) is a crucial task in the field of statistics of extremes, as it provides valuable insights into the tail behavior of a distribution.
Lígia Henriques-Rodrigues +2 more
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