Port-Estimation of a Shape Second-Order Parameter

Port-Estimation of a Shape Second-Order Parameter

In this paper we study, under a semi-parametric framework and for heavy right tails, a class of location invariant estimators of a shape second-order parameter, ruling the rate of convergence of the normalised sequence of maximum values to a non-degenerate limit. This class is based on the PORT met...

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Bibliographic Details
Main Authors: Lígia Henriques-Rodrigues, M. Ivette Gomes, M. Isabel Fraga Alves, Cláudia Neves
Format: Article
Language:English
Published: Instituto Nacional de Estatística | Statistics Portugal 2014-12-01
Series:Revstat Statistical Journal
Subjects:
asymptotic properties
location/scale invariant estimation
Monte-Carlo simulation
PORT methodology
sample of excesses
semi-parametric estimation
Online Access:https://revstat.ine.pt/index.php/REVSTAT/article/view/155

Internet

https://revstat.ine.pt/index.php/REVSTAT/article/view/155

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