Related papers: Why you should also use OLS estimation of tail exp…
In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. We begin the study with the finite sample behavior of the Hill estimator under {\alpha}-stable distributions. Using large Monte Carlo…
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…
In this paper, we introduce reduced-bias estimators for the estimation of the tail index of a Pareto-type distribution. This is achieved through the use of a regularised weighted least squares with an exponential regression model for…
This paper introduces a flexible framework for the estimation of the conditional tail index of heavy tailed distributions. In this framework, the tail index is computed from an auxiliary linear regression model that facilitates estimation…
In this paper we develop a novel inferential approach based on geometric records for estimating the tail index of heavy-tailed distributions. We construct a maximum likelihood estimator for the Pareto model and establish its strong…
We propose a class of weighted least squares estimators for the tail index of a distribution function with a regularly varying upper tail. Our approach is based on the method developed by \cite{Holan2010} for the Parzen tail index.…
This paper considers estimation and inference about tail features when the observations beyond some threshold are censored. We first show that ignoring such tail censoring could lead to substantial bias and size distortion, even if the…
Estimation of the tail index of heavy-tailed distributions and its applications are essential in many research areas. We propose a class of weighted least squares (WLS) estimators for the Parzen tail index. Our approach is based on the…
Estimating the tail index parameter is one of the primal objectives in extreme value theory. For heavy-tailed distributions the Hill estimator is the most popular way to estimate the tail index parameter. Improving the Hill estimator was…
We introduce a trimmed version of the Hill estimator for the index of a heavy-tailed distribution, which is robust to perturbations in the extreme order statistics. In the ideal Pareto setting, the estimator is essentially finite-sample…
In this article we study post-model selection estimators that apply ordinary least squares (OLS) to the model selected by first-step penalized estimators, typically Lasso. It is well known that Lasso can estimate the nonparametric…
The upper tail of a claim size distribution of a property line of business is frequently modelled by Pareto distribution. However, the upper tail does not need to be Pareto distributed, extraordinary shapes are possible. Here, the…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
The extreme value theory is very popular in applied sciences including Finance, economics, hydrology and many other disciplines. In univariate extreme value theory, we model the data by a suitable distribution from the general max-domain of…
In this paper, we propose a reduced-bias estimator of the EVI for Pareto-type tails (heavy-tailed) distributions. This is derived using the weighted least squares method. It is shown that the estimator is unbiased, consistent and…
A new estimator is proposed for estimating the tail exponent of a heavy-tailed distribution. This estimator, referred to as the layered Hill estimator, is a generalization of the traditional Hill estimator, building upon a layered structure…
This paper investigates pooling strategies for tail index and extreme quantile estimation from heavy-tailed data. To fully exploit the information contained in several samples, we present general weighted pooled Hill estimators of the tail…
When data are clustered, common practice has become to do OLS and use an estimator of the covariance matrix of the OLS estimator that comes close to unbiasedness. In this paper we derive an estimator that is unbiased when the random-effects…
While the ordinary least squares estimator (OLSE) is still the most used estimator in linear regression models, other estimators can be more efficient when the error distribution is not Gaussian. In this paper, our goal is to evaluate this…
By introducing a weight function into the density power divergence, we develop a new class of robust and smooth estimators for the tail index of Pareto-type distributions, offering improved efficiency in the presence of outliers. These…