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Journal of Statistical Computation and Simulation Volume 80, 2010 - Issue 6
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Original Articles

Tail index and second-order parameters’ semi-parametric estimation based on the log-excesses

M. Ivette Gomes CEAUL and DEIO/FCUL, University of Lisbon, Lisbon, PortugalCorrespondence[email protected]
,
Lígia Henriques Rodrigues CEAUL, Polytechnic Institute of Tomar, Tomar, Portugal
,
Hugo Pereira CEAUL, Secondary High School, Peniche, Portugal
&
Dinis Pestana CEAUL and DEIO/FCUL, University of Lisbon, Lisbon, Portugal
Pages 653-666 | Received 09 Oct 2008, Published online: 03 Mar 2009

Citations (17)

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Read on this site (8)

Deyuan Li & Huixia Judy Wang. (2019) Extreme Quantile Estimation for Autoregressive Models. Journal of Business & Economic Statistics 37:4, pages 661-670.
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M. Ivette Gomes, M. Fátima Brilhante & Dinis Pestana. (2016) New Reduced-bias Estimators of a Positive Extreme Value Index. Communications in Statistics - Simulation and Computation 45:3, pages 833-862.
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Frederico Caeiro & M. Ivette Gomes. (2015) Revisiting the Maximum Likelihood Estimation of a Positive Extreme Value Index. Journal of Statistical Theory and Practice 9:1, pages 200-218.
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M. Ivette Gomes, Lígia Henriques-Rodrigues, M. Isabel Fraga Alves & B. G. Manjunath. (2013) Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms. Journal of Statistical Computation and Simulation 83:6, pages 1129-1144.
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M. Ivette Gomes, M. João Martins & M. Manuela Neves. (2013) Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling. Communications in Statistics - Theory and Methods 42:7, pages 1227-1245.
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Fernanda Figueiredo, M. Ivette Gomes, Lígia Henriques-Rodrigues & M. Cristina Miranda. (2012) A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation. Journal of Statistical Computation and Simulation 82:4, pages 587-602.
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M. Ivette Gomes, Sandra Mendonça & Dinis Pestana. (2011) Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology. Communications in Statistics - Theory and Methods 40:16, pages 2946-2968.
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M. Ivette Gomes, Lígia Henriques-Rodrigues & M. Cristina Miranda. (2011) Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study. Communications in Statistics - Simulation and Computation 40:3, pages 424-447.
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Articles from other publishers (9)

Lígia Henriques-Rodrigues & M. Ivette Gomes. (2022) Box-Cox Transformations and Bias Reduction in Extreme Value Theory. Computational and Mathematical Methods 2022, pages 1-15.
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Frederico Caeiro, Lígia Henriques‐Rodrigues, M. Ivette Gomes & Ivanilda Cabral. (2020) Minimum‐variance reduced‐bias estimation of the extreme value index: A theoretical and empirical study. Computational and Mathematical Methods 2:4.
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Frederico Caeiro, Lígia Henriques‐Rodrigues & Dora Prata Gomes. (2019) A simple class of reduced bias kernel estimators of extreme value parameters. Computational and Mathematical Methods 1:3, pages e1025.
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Frederico Caeiro, M. Ivette Gomes, Jan Beirlant & Tertius de Wet. (2016) Mean-of-order p reduced-bias extreme value index estimation under a third-order framework. Extremes 19:4, pages 561-589.
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M. Ivette Gomes, Frederico Caeiro, Lígia Henriques-Rodrigues & B.G. Manjunath. 2016. Extreme Events in Finance. Extreme Events in Finance 117 138 .
M. Ivette Gomes, M. Fátima Brilhante & Dinis Pestana. 2015. Theory and Practice of Risk Assessment. Theory and Practice of Risk Assessment 305 320 .
M. Fátima Brilhante, M. Ivette Gomes & Dinis Pestana. (2013) A simple generalisation of the Hill estimator. Computational Statistics & Data Analysis 57:1, pages 518-535.
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M. Ivette Gomes, Fernanda Figueiredo & M. Manuela Neves. (2011) Adaptive estimation of heavy right tails: resampling-based methods in action. Extremes 15:4, pages 463-489.
Crossref
Tertius de Wet, Yuri Goegebeur & Armelle Guillou. (2011) Weighted Moment Estimators for the Second Order Scale Parameter. Methodology and Computing in Applied Probability 14:3, pages 753-783.
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