Improving Second Order Reduced Bias Extreme Value Index Estimation

Improving Second Order Reduced Bias Extreme Value Index Estimation

Classical extreme value index estimators are known to be quite sensitive to the number k of top order statistics used in the estimation. The recently developed second order reduced-bias estimators show much less sensitivity to changes in k. Here, we are interested in the improvement of the performa...

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Bibliographic Details
Main Authors: M. Ivette Gomes, M. João Martins, M. Manuela Neves
Format: Article
Language:English
Published: Instituto Nacional de Estatística | Statistics Portugal 2007-06-01
Series:Revstat Statistical Journal
Subjects:
statistics of extremes
semi-parametric estimation
bias estimation
heavy tails
maximum likelihood
Online Access:https://revstat.ine.pt/index.php/REVSTAT/article/view/48

Internet

https://revstat.ine.pt/index.php/REVSTAT/article/view/48

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