- Tytuł:
- An asymptotically unbiased moment estimator of a negative extreme value index
- Autorzy:
-
Caeiro, Frederico
Gomes, M. - Powiązania:
- https://bibliotekanauki.pl/articles/729970.pdf
- Data publikacji:
- 2010
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
extreme value index
semi-parametric estimation
moment estimator - Opis:
- In this paper we consider a new class of consistent semi-parametric estimators of a negative extreme value index, based on the set of the k largest observations. This class of estimators depends on a control or tuning parameter, which enables us to have access to an estimator with a null second-order component of asymptotic bias, and with a rather interesting mean squared error, as a function of k. We study the consistency and asymptotic normality of the proposed estimators. Their finite sample behaviour is obtained through Monte Carlo simulation.
- Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2010, 30, 1; 5-19
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł