-
1
-
-
0002712413
-
Asymptotic theory for bootstrapping the extremes
-
Angus, J.E.: Asymptotic theory for bootstrapping the extremes. Commun. Stat. Theory Methods 22, 15-30 (1993)
-
(1993)
Commun. Stat. Theory Methods
, vol.22
, pp. 15-30
-
-
Angus, J.E.1
-
2
-
-
0040685888
-
A tail bootstrap procedure for estimating the tail Pareto-index
-
Bacro, J.N., Brito, M.: A tail bootstrap procedure for estimating the tail Pareto-index. J. Stat. Plan. Inference 71, 245-260 (1998)
-
(1998)
J. Stat. Plan. Inference
, vol.71
, pp. 245-260
-
-
Bacro, J.N.1
Brito, M.2
-
3
-
-
0032576628
-
Nonparametric tail estimation using a double bootstrap method
-
Caers, J., Van Dyck, J.: Nonparametric tail estimation using a double bootstrap method. Comput. Stat. Data Anal. 29, 191-211 (1998)
-
(1998)
Comput. Stat. Data Anal.
, vol.29
, pp. 191-211
-
-
Caers, J.1
Van Dyck, J.2
-
4
-
-
0031070917
-
On a mapping approach to investigating the bootstrap accuracy
-
Chen, K., Lo, S.H.: On a mapping approach to investigating the bootstrap accuracy. Probab. Theory Relat. Fields 107, 197-217 (1997)
-
(1997)
Probab. Theory Relat. Fields
, vol.107
, pp. 197-217
-
-
Chen, K.1
Lo, S.H.2
-
5
-
-
0035535918
-
Penultimate approximation for Hill's Estimator
-
Cheng, S., de Haan, L. Penultimate approximation for Hill's Estimator. Scand. J. Statist. 28, 569-575 (2001)
-
(2001)
Scand. J. Statist.
, vol.28
, pp. 569-575
-
-
Cheng, S.1
De Haan, L.2
-
6
-
-
0000044433
-
Using a bootstrap method to choose the sample fraction in tail index estimation
-
Danielsson, J., de Haan, L., Peng, L., de Vries, C.G.: Using a bootstrap method to choose the sample fraction in tail index estimation. J. Multivar. Anal. 76, 226-248 (2001)
-
(2001)
J. Multivar. Anal.
, vol.76
, pp. 226-248
-
-
Danielsson, J.1
De Haan, L.2
Peng, L.3
De Vries, C.G.4
-
7
-
-
0031161693
-
Tail index and quantile estimation with very high frequency data
-
Danielsson, J., Vries, C.: Tail index and quantile estimation with very high frequency data. J. Empir. Finance 4, 241-257 (1997)
-
(1997)
J. Empir. Finance
, vol.4
, pp. 241-257
-
-
Danielsson, J.1
Vries, C.2
-
9
-
-
0032330687
-
Comparison of tail index estimators
-
de Haan, L., Peng, L.: Comparison of tail index estimators. Statist. Neerlandica 52, 60-70 (1998)
-
(1998)
Statist. Neerlandica
, vol.52
, pp. 60-70
-
-
De Haan, L.1
Peng, L.2
-
10
-
-
0039470514
-
Generalized regular variation of second order
-
de Haan, L., Stadtmüller, U.: Generalized regular variation of second order. J. Aust. Math. Soc. A 61, 381-395 (1996)
-
(1996)
J. Aust. Math. Soc. A
, vol.61
, pp. 381-395
-
-
De Haan, L.1
Stadtmüller, U.2
-
11
-
-
0001760675
-
A moment estimator for the index of an extreme-value distribution
-
Dekkers, A.L.M., Einmahl, J.H.J., de Haan, L.: A moment estimator for the index of an extreme-value distribution. Ann. Stat. 17, 1833-1855 (1989)
-
(1989)
Ann. Stat.
, vol.17
, pp. 1833-1855
-
-
Dekkers, A.L.M.1
Einmahl, J.H.J.2
De Haan, L.3
-
12
-
-
0001560652
-
A bootstrap-based method to achieve optimality in estimating the extreme-value index
-
Draisma, G., de Haan, L., Peng, L., Pereira, T.T.: A bootstrap-based method to achieve optimality in estimating the extreme-value index. Extremes 2, 367-404 (1999)
-
(1999)
Extremes
, vol.2
, pp. 367-404
-
-
Draisma, G.1
De Haan, L.2
Peng, L.3
Pereira, T.T.4
-
13
-
-
0001061726
-
Selection of the optimal sample fraction in univariate extreme value estimation
-
Drees, H., Kaufmann, E.: Selection of the optimal sample fraction in univariate extreme value estimation. Stoch. Process. Appl. 75, 149-172 (1998)
-
(1998)
Stoch. Process. Appl.
, vol.75
, pp. 149-172
-
-
Drees, H.1
Kaufmann, E.2
-
14
-
-
0002344794
-
Bootstrap methods: Another look at the jackknife
-
Efron, N.: Bootstrap methods: another look at the jackknife. Ann. Stat. 7, 1-26 (1979)
-
(1979)
Ann. Stat.
, vol.7
, pp. 1-26
-
-
Efron, N.1
-
15
-
-
40749105695
-
On the bootstrap accuracy of the Pareto index
-
El-Nouty, C., Guillou, A.: On the bootstrap accuracy of the Pareto index. Stat. Decis. 18, 275-290 (2000)
-
(2000)
Stat. Decis.
, vol.18
, pp. 275-290
-
-
El-Nouty, C.1
Guillou, A.2
-
16
-
-
0036568355
-
Optimal asymptotic estimation of small exceedance probabilities
-
Ferreira, A.: Optimal asymptotic estimation of small exceedance probabilities. J. Stat. Plan. Inference 104, 83-102 (2002)
-
(2002)
J. Stat. Plan. Inference
, vol.104
, pp. 83-102
-
-
Ferreira, A.1
-
17
-
-
0141480799
-
On optimising the estimation of high quantiles of a probability distribution
-
5
-
Ferreira, A., de Haan, L., Peng, L.: On optimising the estimation of high quantiles of a probability distribution. Statistics 37(5), 401-434 (2003)
-
(2003)
Statistics
, vol.37
, pp. 401-434
-
-
Ferreira, A.1
De Haan, L.2
Peng, L.3
-
18
-
-
8344233641
-
A location invariant Hill-type estimator
-
3
-
Fraga Alves, M.I.: A location invariant Hill-type estimator. Extremes 4(3), 199-217 (2001)
-
(2001)
Extremes
, vol.4
, pp. 199-217
-
-
Fraga Alves, M.I.1
-
20
-
-
40749091223
-
On bootstrap sample size in extreme value theory
-
85
-
Geluk, J., de Haan, L.: On bootstrap sample size in extreme value theory. Publ. Inst. Math. (Beograd) (N.S.) 71(85), 21-25 (2002)
-
(2002)
Publ. Inst. Math. (Beograd) (N.S.)
, vol.71
, pp. 21-25
-
-
Geluk, J.1
De Haan, L.2
-
21
-
-
1442308353
-
Kernel-type estimators for the extreme value index
-
Groeneboom, P., Lopuhaä, H.P., de Wolf, P.P.: Kernel-type estimators for the extreme value index. Ann. Stat. 31, 1956-1995 (2003)
-
(2003)
Ann. Stat.
, vol.31
, pp. 1956-1995
-
-
Groeneboom, P.1
Lopuhaä, H.P.2
De Wolf, P.P.3
-
22
-
-
0011433910
-
Bootstrap confidence intervals for the Pareto index
-
Guillou, A.: Bootstrap confidence intervals for the Pareto index. Commun. Stat. Theory Methods 29, 211-226 (2000)
-
(2000)
Commun. Stat. Theory Methods
, vol.29
, pp. 211-226
-
-
Guillou, A.1
-
23
-
-
0000831975
-
Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
-
Hall, P.: Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems. J. Multivar. Anal. 32, 177-203 (1990)
-
(1990)
J. Multivar. Anal.
, vol.32
, pp. 177-203
-
-
Hall, P.1
-
24
-
-
0000860086
-
Methodology and algorithms of empirical likelihood
-
Hall, P., La Scala, L.: Methodology and algorithms of empirical likelihood. Internat. Statist. Rev. 58, 109-127 (1990)
-
(1990)
Internat. Statist. Rev.
, vol.58
, pp. 109-127
-
-
Hall, P.1
La Scala, L.2
-
25
-
-
0001263124
-
A simple general approach to inference about the tail of a distribution
-
Hill, B.M.: A simple general approach to inference about the tail of a distribution. Ann. Stat. 3, 1163-1174 (1975)
-
(1975)
Ann. Stat.
, vol.3
, pp. 1163-1174
-
-
Hill, B.M.1
-
26
-
-
33645037178
-
Likelihood based confidence intervals for the tail index
-
4
-
Lu, J., Peng, L.: Likelihood based confidence intervals for the tail index. Extremes 5(4), 337-352 (2002)
-
(2002)
Extremes
, vol.5
, pp. 337-352
-
-
Lu, J.1
Peng, L.2
-
27
-
-
0000782528
-
Laws of large numbers for sums of extreme values
-
Mason, D.M.: Laws of large numbers for sums of extreme values. Ann. Probab. 10, 754-764 (1982)
-
(1982)
Ann. Probab.
, vol.10
, pp. 754-764
-
-
Mason, D.M.1
-
28
-
-
0005865585
-
Adaptive threshold selection in tail index estimation
-
Embrechts P. (ed.) Risk Books London
-
Matthys, G., Beirlant, J.: Adaptive threshold selection in tail index estimation. In: Embrechts P. (ed.) Extremes and Integrated Risk Management, Risk Books, pp. 37-49. London (2000)
-
(2000)
Extremes and Integrated Risk Management
, pp. 37-49
-
-
Matthys, G.1
Beirlant, J.2
-
29
-
-
0000060427
-
Empirical likelihood ratio confidence intervals for single functional
-
Owen, A.: Empirical likelihood ratio confidence intervals for single functional. Biometrika 75, 237-249 (1988)
-
(1988)
Biometrika
, vol.75
, pp. 237-249
-
-
Owen, A.1
-
30
-
-
0002552463
-
Empirical likelihood regions
-
Owen, A.: Empirical likelihood regions. Ann. Stat. 18, 90-120 (1990)
-
(1990)
Ann. Stat.
, vol.18
, pp. 90-120
-
-
Owen, A.1
-
32
-
-
24344482907
-
Empirical likelihood confidence interval for a mean with a heavy tailed distribution
-
Peng, L.: Empirical likelihood confidence interval for a mean with a heavy tailed distribution. Ann. Stat. 32, 1192-1214 (2004)
-
(2004)
Ann. Stat.
, vol.32
, pp. 1192-1214
-
-
Peng, L.1
-
33
-
-
33645030748
-
A new calibration method of constructing empirical likelihood-based confidence intervals for the tail index
-
Peng, L., Qi, Y.: A new calibration method of constructing empirical likelihood-based confidence intervals for the tail index. Aust. N.Z. J. Stat. 48, 59-66 (2006a)
-
(2006)
Aust. N.Z. J. Stat.
, vol.48
, pp. 59-66
-
-
Peng, L.1
Qi, Y.2
-
34
-
-
33845302985
-
Confidence regions for high quantiles of a heavy tailed distribution
-
4
-
Peng, L., Qi, Y.: Confidence regions for high quantiles of a heavy tailed distribution. Ann Stat. 34(4), 1964-1986 (2006b)
-
(2006)
Ann Stat.
, vol.34
, pp. 1964-1986
-
-
Peng, L.1
Qi, Y.2
-
35
-
-
40749125259
-
Bootstrap approximation of tail dependence function
-
in press
-
Peng, L., Qi, Y.: Bootstrap approximation of tail dependence function. J. Multivar. Anal. (2007) (in press)
-
(2007)
J. Multivar. Anal.
-
-
Peng, L.1
Qi, Y.2
-
36
-
-
0039652587
-
Second order behavior of domains of attraction and the bias of generalized Pickands' estimator
-
Lechner, J., Galambos, J., Simin, E. (eds.) Proc. Gaithersburg Conference (NIST special publ)
-
Pereira, T.T.: Second order behavior of domains of attraction and the bias of generalized Pickands' estimator. In: Lechner, J., Galambos, J., Simin, E. (eds.) Extreme Value Theory and Applications III. Proc. Gaithersburg Conference (NIST special publ) (1993)
-
(1993)
Extreme Value Theory and Applications III
-
-
Pereira, T.T.1
-
37
-
-
0001075431
-
Statistical inference using extreme order statistics
-
Pickands III, J.: Statistical inference using extreme order statistics. Ann. Stat. 3, 119-131 (1975)
-
(1975)
Ann. Stat.
, vol.3
, pp. 119-131
-
-
Pickands Iii, J.1
-
38
-
-
0001944989
-
Hill, bootstrap and jackknife estimators for heavy tails
-
Birkhauser Boston
-
Pictet, O.V., Dacorogna, M.M., Müller, U.A.: Hill, bootstrap and jackknife estimators for heavy tails. In: Adler, R., Feldman, R., Taqqu, M.S. (eds.) A Practical Guide to Heavy Tails, pp. 283-310. Birkhauser, Boston (1998)
-
(1998)
A Practical Guide to Heavy Tails
, pp. 283-310
-
-
Pictet, O.V.1
Dacorogna, M.M.2
Müller, U.A.3
Adler, R.4
Feldman, R.5
Taqqu, M.S.6
-
39
-
-
0347609095
-
Empirical likelihood and general estimating equations
-
Qin, J., Lawless, J.: Empirical likelihood and general estimating equations. Ann. Stat. 22, 300-325 (1994)
-
(1994)
Ann. Stat.
, vol.22
, pp. 300-325
-
-
Qin, J.1
Lawless, J.2
-
41
-
-
3042537432
-
A new method of calibration for the empirical loglikelihood ratio
-
Tsao, M.: A new method of calibration for the empirical loglikelihood ratio. Statist. Probab. Lett. 68, 305-314 (2004)
-
(2004)
Statist. Probab. Lett.
, vol.68
, pp. 305-314
-
-
Tsao, M.1
-
42
-
-
84936167519
-
Estimation of parameters and large quantiles based on the k largest observations
-
Weissman, I.: Estimation of parameters and large quantiles based on the k largest observations. J. Amer. Statist. Assoc. 73, 812-815 (1978)
-
(1978)
J. Amer. Statist. Assoc.
, vol.73
, pp. 812-815
-
-
Weissman, I.1
|