Estimating the tail index: another algorithmic method

Detalhes bibliográficos
Autor(a) principal: Ferreira, Marta Susana
Data de Publicação: 2015
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/36656
Resumo: The tail index is a determinant parameter within extreme value theory. Under a semiparametric approach, one has often to choose the number of the largest order statistics to include in estimates. This is a hard task since it is not possible to know for sure where the tail of data really begins. This crucial topic has been largely addressed in literature and several methods were developed. In this paper we analyze, through simulation, a heuristic method and compare it with two very popular methodologies. It will be seen that the new method can be a good alternative.
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spelling Estimating the tail index: another algorithmic methodExtreme value theoryHill estimatorGeneralized Hill estimatorCiências Naturais::MatemáticasThe tail index is a determinant parameter within extreme value theory. Under a semiparametric approach, one has often to choose the number of the largest order statistics to include in estimates. This is a hard task since it is not possible to know for sure where the tail of data really begins. This crucial topic has been largely addressed in literature and several methods were developed. In this paper we analyze, through simulation, a heuristic method and compare it with two very popular methodologies. It will be seen that the new method can be a good alternative.Research Centre of Mathematics of the University of Minho with the Portuguese Funds from the ”Fundação para a Ciência e a Tecnologia”, through the Project PEstOE/ MAT/UI0013/2014.Universidade do MinhoFerreira, Marta Susana20152015-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/36656eng0974-3235http://probstat.org.in/PSF-2015-05.pdfinfo: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:RCAAP2023-07-21T12:19:37Zoai:repositorium.sdum.uminho.pt:1822/36656Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:12:34.968295Repositório 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 Estimating the tail index: another algorithmic method
title Estimating the tail index: another algorithmic method
spellingShingle Estimating the tail index: another algorithmic method
Ferreira, Marta Susana
Extreme value theory
Hill estimator
Generalized Hill estimator
Ciências Naturais::Matemáticas
title_short Estimating the tail index: another algorithmic method
title_full Estimating the tail index: another algorithmic method
title_fullStr Estimating the tail index: another algorithmic method
title_full_unstemmed Estimating the tail index: another algorithmic method
title_sort Estimating the tail index: another algorithmic method
author Ferreira, Marta Susana
author_facet Ferreira, Marta Susana
author_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Ferreira, Marta Susana
dc.subject.por.fl_str_mv Extreme value theory
Hill estimator
Generalized Hill estimator
Ciências Naturais::Matemáticas
topic Extreme value theory
Hill estimator
Generalized Hill estimator
Ciências Naturais::Matemáticas
description The tail index is a determinant parameter within extreme value theory. Under a semiparametric approach, one has often to choose the number of the largest order statistics to include in estimates. This is a hard task since it is not possible to know for sure where the tail of data really begins. This crucial topic has been largely addressed in literature and several methods were developed. In this paper we analyze, through simulation, a heuristic method and compare it with two very popular methodologies. It will be seen that the new method can be a good alternative.
publishDate 2015
dc.date.none.fl_str_mv 2015
2015-01-01T00:00:00Z
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 http://hdl.handle.net/1822/36656
url http://hdl.handle.net/1822/36656
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0974-3235
http://probstat.org.in/PSF-2015-05.pdf
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)
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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
repository.mail.fl_str_mv
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