Adaptive estimation of heavy right tails: resampling-based methods in action

作者：Ivette Gomes M; Figueiredo Fernanda; Manuela Neves M

来源：Extremes, 2012, 15(4): 463-489.

DOI：10.1007/s10687-011-0146-6

• Statistics of extremes
• Semi-parametric estimation
• Resampling-based methodology

In this paper, we discuss an algorithm for the adaptive estimation of a positive extreme value index, gamma, the primary parameter in Statistics of Extremes. Apart from the classical extreme value index estimators, we suggest the consideration of associated second-order corrected-bias estimators, and propose the use of resampling-based computer-intensive methods for an asymptotically consistent choice of the thresholds to use in the adaptive estimation of gamma. The algorithm is described for a classical gamma-estimator and associated corrected-bias estimator, but it can work similarly for the estimation of other parameters of extreme events, like a high quantile, the probability of exceedance or the return period of a high level.

• 出版日期2012-12