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Communications in Statistics - Theory and Methods Volume 34, 2005 - Issue 2
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Extreme Values and Inference

Revisiting the Role of the Jackknife Methodology in the Estimation of a Positive Tail Index

M. Ivette Gomes CEAUL, DEIO (FCUL), Universidade de Lisboa, Campo Grande, Lisboa, Portugal
,
Hugo Pereira DEIO (FCUL), Universidade de Lisboa, Campo Grande, Lisboa, Portugal
&
M. Cristina Miranda CEAUL, Universidade de Lisboa, ISCA, Universidade de Aveiro, Campus Universitário de Santiago, Aveiro, Portugal
Pages 319-335 | Received 20 Nov 2003, Accepted 09 Jun 2004, Published online: 26 Dec 2007

Citations (12)

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Read on this site (2)

Ivanilda Cabral, Frederico Caeiro & M. Ivette Gomes. (2022) On the comparison of several classical estimators of the extreme value index. Communications in Statistics - Theory and Methods 51:1, pages 179-196.
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Frederico Caeiro, M. Ivette Gomes & Lígia Henriques Rodrigues. (2009) Reduced-Bias Tail Index Estimators Under a Third-Order Framework. Communications in Statistics - Theory and Methods 38:7, pages 1019-1040.
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Articles from other publishers (10)

Frederico Caeiro & Lígia Henriques‐Rodrigues. (2019) Reduced‐bias kernel estimators of a positive extreme value index. Mathematical Methods in the Applied Sciences 42:17, pages 5867-5880.
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Weiqi Liu & Hongwei Xing. (2014) An Estimator of Heavy Tail Index through the Generalized Jackknife Methodology. Mathematical Problems in Engineering 2014, pages 1-10.
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Juan-Juan Cai, Laurens de Haan & Chen Zhou. (2012) Bias correction in extreme value statistics with index around zero. Extremes 16:2, pages 173-201.
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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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Frederico Caeiro & M. Ivette Gomes. (2011) Asymptotic comparison at optimal levels of reduced‐bias extreme value index estimators. Statistica Neerlandica 65:4, pages 462-488.
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Frederico Caeiro & M. Ivette Gomes. (2011) Semi-parametric tail inference through probability-weighted moments. Journal of Statistical Planning and Inference 141:2, pages 937-950.
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M. Ivette Gomes & Lígia Henriques Rodrigues. (2008) Tail index estimation for heavy tails: accommodation of bias in the excesses over a high threshold. Extremes 11:3, pages 303-328.
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M. Ivette Gomes & Cláudia Neves. (2008) Asymptotic comparison of the mixed moment and classical extreme value index estimators. Statistics & Probability Letters 78:6, pages 643-653.
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M. Ivette Gomes, Andreia Hall & M. Cristina Miranda. (2008) Subsampling techniques and the Jackknife methodology in the estimation of the extremal index. Computational Statistics & Data Analysis 52:4, pages 2022-2041.
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M. Ivette Gomes, Cristina Miranda & Clara Viseu. (2007) Reduced-bias tail index estimation and the jackknife methodology. Statistica Neerlandica 61:2, pages 243-270.
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