USING SHRINKAGE ESTIMATORS TO REDUCE BIAS AND MSE IN ESTIMATION OF HEAVY TAILS KU Leuven
© 2019, National Statistical Institute. All rights reserved. Bias reduction in tail estimation has received considerable interest in extreme value analysis. Estimation methods that minimize the bias while keeping the mean squared error (MSE) under control, are especially useful when applying classical methods such as the Hill (1975) estimator. In the case of heavy tailed distributions, Caeiro et al. (2005) proposed minimum variance reduced bias ...