- Tytuł:
- Comparison at optimal levels of classical tail index estimators: a challenge for reduced-bias estimation?
- Autorzy:
-
Gomes, M.
Henriques-Rodrigues, Lígia - Powiązania:
- https://bibliotekanauki.pl/articles/729988.pdf
- Data publikacji:
- 2010
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
statistics of extremes
semi-parametric estimation
bias estimation
heavy tails
optimal levels - Opis:
- In this article, we begin with an asymptotic comparison at optimal levels of the so-called "maximum likelihood" (ML) extreme value index estimator, based on the excesses over a high random threshold, denoted PORT-ML, with PORT standing for peaks over random thresholds, with a similar ML estimator, denoted PORT-MP, with MP standing for modified-Pareto. The PORT-MP estimator is based on the same excesses, but with a trial of accommodation of bias on the Generalized Pareto model underlying those excesses. We next compare the behaviour of these ML implicit estimators with the equivalent behaviour of a few explicit tail index estimators, the Hill, the moment, the generalized Hill and the mixed moment. As expected, none of the estimators can always dominate the alternatives, even when we include second-order MVRB tail index estimators, with MVRB standing for minimum-variance reduced-bias. However, the asymptotic performance of the MVRB estimators is quite interesting and provides a challenge for a further study of these MVRB estimators at optimal levels.
- Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2010, 30, 1; 35-51
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł