Johan Segers  Home/Search
Context
Related
| kuleuven.ac.be/ucs/resear...BiasHil3.ps Cached: PDF This document uses CoBlitz to cache paper downloads. If your firewall is blocking outgoing connections to port 3125, you can use these links to download local copies.
PS.gz PS Image Update HelpFrom: kuleuven.ac.be/ucs/resear...publi (more) (Enter author homepages) |
Rate this article:      (best)Comment on this article |
Abstract: The bias of Hill's estimator for the positive extreme value index of a distribution is investigated in relation with the convergence rate in the regular variation property of the tail function of the common distribution of the sample and the corresponding tail quantile function. Based on the theory of generalised regular variation, natural second-order conditions are proposed which both imply and are implied by convergence of the expectation of Hill's estimator to the extreme value index at... (Update)
Similar documents based on text: More All
0.9: Kernel-Type Estimators for the Extreme Value Index - Groeneboom Lopuhaa And (Correct)
0.5: On Bootstrap Sample Size in Extreme Value Theory - Jaap Geluk And (Correct)
0.5: Second-Order Regular Variation and Rates of Convergence in.. - de Haan, Resnick (1997) (Correct)
BibTeX entry: (Update)
@misc{ segers-abelian,
author = "Johan Segers",
title = "Abelian and Tauberian theorems on the bias of the Hill Estimator",
url = "citeseer.ist.psu.edu/article/segers01abelian.html" }
Citations (may not include all citations):164 Regular Variation (context) - Bingham, Goldie et al. - 1987
67 A simple general approach to inference about the tail of a d.. (context) - Hill - 1975
55 Modelling Extremal Events (context) - Embrechts, Kluppelberg et al. - 1997
30 On some simple estimates of an exponent of regular variation (context) - Hall - 1982
20 Smoothing the Hill estimator (context) - Resnick, Starica - 1997
18 Practical Analysis of Extreme Values (context) - Beirlant, Teugels et al. - 1996
16 Estimating tails of probability distributions (context) - Smith - 1987
16 Limiting forms of the frequency distribution in the largest .. (context) - Fisher, Tippett - 1928
14 A moment estimator for the index of an extreme-value distrib.. (context) - Dekkers, Einmahl et al. - 1989
12 Optimal choice of sample fraction in extreme-value estimatio.. (context) - Dekkers, de Haan - 1993
12 Geometrizing rates of convergence (context) - Donoho, Liu - 1991
12 Tail estimates motivated by extreme value theory (context) - Davis, Resnick - 1984
11 the estimation of the extremevalue index and large quantile .. (context) - Dekkers, de Haan - 1989
11 Regular variation (context) - Geluk, de Haan - 1987
11 Sur la distribution limite du terme maximum d'une s'erie al'.. (context) - Gnedenko - 1943
[Article contains additional citations not shown here]
Documents on the same site (http://www.kuleuven.ac.be/ucs/research/publi.htm): More
Residual Estimators - Segers (2000) (Correct)
Regression with response distributions of Pareto-type - Beirlant, Goegebeur (2000) (Correct)
On The Normal Uniform Local Domain of Attraction for Intermediate .. - Segers (2000) (Correct)
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC