Generalized sum plots

REVSTAT-Statistical Journal

Volumn 9, Issue 2, 2011, Pages 181-198

  Beirlant, J ^a   Boniphace, E ^a   Dierckx, G ^b  

^a Katholieke Universiteit Leuven   (Belgium)

^b HOGESCHOOL UNIVERSITEIT BRUSSEL   (Belgium)

Author keywords

Extreme value analysis; Generalized quantile plot; Generalized sum plot; Sum plot; Weighted regression model

Indexed keywords

EID: 80055050761     PISSN: 16456726     EISSN: 21830371     Source Type: Journal    
DOI: None     Document Type: Article

References (16)

1. Beirlant, J.; Teugels, J.L. and Vynckier, P. (1996a). Practical Analysis of Extreme Values, Leuven University Press, Leuven.
2. Beirlant, J.; Vynckier, P. and Teugels, J.L. (1996b). Excess functions and estimation of the extreme value index, Bernoulli, 2, 293-318.
3. Beirlant, J.; Dierckx, G.; Guillou, A. and Starica, C. (2001). On exponential Representations of Log-Spacings of Extreme Order Statistics, Extremes, 5, 157-180.
4. Beirlant, J.; Goegebeur, Y.; Segers, J. and Teugels, J.L. (2004). Statistics of Extremes, Wiley.
5. Beirlant, J.; Dierckx, G. and Guillou, A. (2005). Estimation of the extreme-value index and generalized quantile plots, Bernoulli, 5(6), 949-970.
6. Dekkers, A.L.M.; Einmahl, J.H.J. and de Haan, L. (1989). A moment estimator for the index of an extreme-value distribution, Ann. Statist., 17, 1833-1855.
7. Dierckx, G. (2000). Estimation of the Extreme Value Index, Doctoral thesis, Katholieke Universiteit Leuven.
8. Fraga Alves, M.I.; Gomes, M.I. and de Haan, L. (2003). A new class of semi-parametric estimators of the second order parameter, Portugaliae Mathe-matica, 60, 193-213.
9. Hall, P. (1982). On some simple estimates of an exponent of regular variation, Journal of the Royal Statistical Society B, 44, 37-42.
10. Huisman, R.; Koedijk, K.; Kool, C. and Palm, F. (2001). Tail-index estimates in small samples, Journal of Business and Economic Statistics, 19(2), 208-216.
11. Henry J.B. (2009). A harmonic moment tail index estimator, Journal of Statistical Theory and Applications, 8(2), 141-162.
12. Hill, B. (1975). A simple general approach to inference about the tail of a distribution, Ann. Statist., 3, 1163-1174.
13. Kratz, M. and Resnick, S. (1996). The qq-estimator of the index of regular variation, Communications in Statistics: Stochastic Models, 12, 699-724.
14. Neves, C. and Fraga Alves, M.I. (2008). Testing extreme value conditions: an overview and recent approaches, REVSTAT - Statistical Journal, 6, 83-100.
15. Rousseeuw, P.J. and Leroy, A.M. (1987). Robust Regression and Outlier Detection, Wiley.
16. Sousa, B. de and Michailidis, G. (2004). A diagnostic plot for estimating the tail index of a distribution, J. Comput. Graph. Statist., 13(4), 974-1001.