Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators

作者：Caeiro Frederico^*; Ivette Gomes M

来源：Statistica Neerlandica, 2011, 65(4): 462-488.

DOI：10.1111/j.1467-9574.2011.00495.x

• statistics of extremes
• semi-parametric estimation
• bias estimation
• heavy tails
• optimal levels

In this article we are interested in the asymptotic comparison, at optimal levels, of a set of semi-parametric reduced-bias extreme value (EV) index estimators, valid for a wide class of heavy-tailed models, underlying the available data. Again, as in the classical case, there is not any estimator that can always dominate the alternatives, but interesting clear-cut patterns are found. Consequently, and in practice, a suitable choice of a set of EV index estimators will jointly enable us to better estimate the EV index gamma, the primary parameter of extreme events.

• 出版日期2011-11