Bias-corrected geometric-type estimators of the tail index

Detalhes bibliográficos
Autor(a) principal: Margarida Brito
Data de Publicação: 2016
Outros Autores: Laura Cavalcante, Ana Cristina Moreira Freitas
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/10216/88191
Resumo: The estimation of the tail index is a central topic in extreme value analysis. We consider a geometric-type estimator for the tail index and study its asymptotic properties. We propose here two asymptotic equivalent bias-corrected geometric-type estimators and establish the corresponding asymptotic behaviour. We also apply the suggested estimators to construct asymptotic confidence intervals for this tail parameter. Some simulations in order to illustrate the finite sample behaviour of the proposed estimators are provided.
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spelling Bias-corrected geometric-type estimators of the tail indexThe estimation of the tail index is a central topic in extreme value analysis. We consider a geometric-type estimator for the tail index and study its asymptotic properties. We propose here two asymptotic equivalent bias-corrected geometric-type estimators and establish the corresponding asymptotic behaviour. We also apply the suggested estimators to construct asymptotic confidence intervals for this tail parameter. Some simulations in order to illustrate the finite sample behaviour of the proposed estimators are provided.20162016-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10216/88191eng1751-811310.1088/1751-8113/49/21/214003Margarida BritoLaura CavalcanteAna Cristina Moreira Freitasinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-29T13:31:56Zoai:repositorio-aberto.up.pt:10216/88191Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T23:42:03.612060Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Bias-corrected geometric-type estimators of the tail index
title Bias-corrected geometric-type estimators of the tail index
spellingShingle Bias-corrected geometric-type estimators of the tail index
Margarida Brito
title_short Bias-corrected geometric-type estimators of the tail index
title_full Bias-corrected geometric-type estimators of the tail index
title_fullStr Bias-corrected geometric-type estimators of the tail index
title_full_unstemmed Bias-corrected geometric-type estimators of the tail index
title_sort Bias-corrected geometric-type estimators of the tail index
author Margarida Brito
author_facet Margarida Brito
Laura Cavalcante
Ana Cristina Moreira Freitas
author_role author
author2 Laura Cavalcante
Ana Cristina Moreira Freitas
author2_role author
author
dc.contributor.author.fl_str_mv Margarida Brito
Laura Cavalcante
Ana Cristina Moreira Freitas
description The estimation of the tail index is a central topic in extreme value analysis. We consider a geometric-type estimator for the tail index and study its asymptotic properties. We propose here two asymptotic equivalent bias-corrected geometric-type estimators and establish the corresponding asymptotic behaviour. We also apply the suggested estimators to construct asymptotic confidence intervals for this tail parameter. Some simulations in order to illustrate the finite sample behaviour of the proposed estimators are provided.
publishDate 2016
dc.date.none.fl_str_mv 2016
2016-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10216/88191
url https://hdl.handle.net/10216/88191
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1751-8113
10.1088/1751-8113/49/21/214003
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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