Estimating L-functionals for heavy-tailed distributions and application.
Necir, Abdelhakim, Meraghni, Djamel (2010)
Journal of Probability and Statistics
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Displaying similar documents to “Estimating the conditional tail expectation in the case of heavy-tailed losses.”
Estimating L-functionals for heavy-tailed distributions and application.
Inference about the tail of a distribution: improvement on the Hill estimator.
Nuyts, Jean (2010)
International Journal of Mathematics and Mathematical Sciences
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Optimal estimators for threshold-based quality measures.
Abrams, Aaron, Ganzell, Sandy, Landau, Henry, Landau, Zeph, Pommersheim, James, Zaslow, Eric (2010)
Journal of Probability and Statistics
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The LASSO estimator: Distributional properties
Rakshith Jagannath, Neelesh S. Upadhye (2018)
Kybernetika
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The least absolute shrinkage and selection operator (LASSO) is a popular technique for simultaneous estimation and model selection. There have been a lot of studies on the large sample asymptotic distributional properties of the LASSO estimator, but it is also well-known that the asymptotic results can give a wrong picture of the LASSO estimator's actual finite-sample behaviour. The finite sample distribution of the LASSO estimator has been previously studied for the special case of...
Generalized jackknife semi-parametric estimators of the tail index.
Gomes, M.Ivette, Martins, M.João, Neves, Manuela (2002)
Portugaliae Mathematica. Nova Série
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First and second order asymptotic efficiencies of estimators
C. Radhakrishna Rao (1962)
Annales scientifiques de l'Université de Clermont. Mathématiques
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Strong convergence bounds of the Hill-type estimator under second-order regularly varying conditions.
Peng, Zuoxiang, Nadarajah, Saralees (2006)
Journal of Inequalities and Applications [electronic only]
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On estimation of reliability in the exponential case
Jan Hurt (1976)
Aplikace matematiky
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Empirical comparison between the Nelson-Aalen Estimator and the Naive Local Constant Estimator.
Ana María Pérez-Marín (2008)
SORT
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The Nelson-Aalen estimator is widely used in biostatistics as a non-parametric estimator of the cumulative hazard function based on a right censored sample. A number of alternative estimators can be mentioned, namely, the naive local constant estimator (Guillén, Nielsen and Pérez-Marín, 2007) which provides improved bias versus variance properties compared to the traditional Nelson-Aalen estimator. Nevertheless, an empirical comparison of these two estimators has never been carried out....