Averages of Hill estimators

Test ◽  
2004 ◽  
Vol 13 (1) ◽  
pp. 113-128 ◽  
Author(s):  
M. João Martins ◽  
M. Ivette Gopmes ◽  
M. Manuela Neves
Keyword(s):  
Hill Estimators

A Class of Weighted Hill Estimators

2021 ◽  
Author(s):  
Frederico Caeiro ◽  
Ayana Mateus ◽  
Louiza Soltane
Keyword(s):  
Hill Estimators

scholarly journals Weak properties and robustness of t-Hill estimators

Extremes ◽  
2016 ◽  
Vol 19 (4) ◽  
pp. 591-626 ◽  
Author(s):  
Pavlina Jordanova ◽  
Zdeněk Fabián ◽  
Philipp Hermann ◽  
Luboš Střelec ◽  
Andrés Rivera ◽  
...  
Keyword(s):  
Hill Estimators

Flexible multivariate Hill estimators

2020 ◽  
Vol 217 (2) ◽  
pp. 398-410
Author(s):  
Yves Dominicy ◽  
Matias Heikkilä ◽  
Pauliina Ilmonen ◽  
David Veredas
Keyword(s):  
Hill Estimators

Reduced bias Hill estimators

2016 ◽  
Author(s):  
Ivanilda Cabral ◽  
Frederico Caeiro ◽  
M. Ivette Gomes
Keyword(s):  
Hill Estimators

scholarly journals The Hill estimators under power normalization

2017 ◽  
Vol 45 ◽  
pp. 813-822 ◽  
Author(s):  
H.M. Barakat ◽  
E.M. Nigm ◽  
H.A. Alaswed
Keyword(s):  
Power Normalization ◽  
Hill Estimators ◽  
The Hill

scholarly journals Consistency of Hill estimators in a linear preferential attachment model

Extremes ◽  
2018 ◽  
Vol 22 (1) ◽  
pp. 1-28 ◽  
Author(s):  
Tiandong Wang ◽  
Sidney I. Resnick
Keyword(s):  
Preferential Attachment ◽  
Attachment Model ◽  
Hill Estimators

A heuristic adaptive choice of the threshold for bias-corrected Hill estimators

2008 ◽  
Vol 78 (2) ◽  
pp. 133-150 ◽  
Author(s):  
M. Ivette Gomes ◽  
Lígia Rodrigues ◽  
Björn Vandewalle ◽  
Clara Viseu
Keyword(s):  
Adaptive Choice ◽  
Hill Estimators

Change point test for tail index of scale-shifted processes

2014 ◽  
Vol 31 (3-4) ◽  
Author(s):  
Moosup Kim ◽  
Sangyeol Lee
Keyword(s):  
Change Point ◽  
Real Data ◽  
Tail Index ◽  
Hill Estimator ◽  
Point Estimate ◽  
Change Point Test ◽  
Point Test ◽  
Before And After ◽  
Hill Estimators ◽  
The Hill

AbstractIn this paper, we study the change point test for the tail index of scale-shifted processes. To this task, we propose two tests. The first is designed via examining the discrepancy between the two Hill estimators obtained from the observations before and after a preliminary change point estimate. The second is a modified recursive test which uses scale-adjusted observations. Both methods produce a tail index estimator that outperforms the Hill estimator. A simulation study and real data analysis are provided for illustration.

Multivariate Hill Estimators

2015 ◽  
Vol 85 (1) ◽  
pp. 108-142 ◽  
Author(s):  
Yves Dominicy ◽  
Pauliina Ilmonen ◽  
David Veredas
Keyword(s):  
Hill Estimators
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