Estimating the tail index: another algorithmic method
Autor(a) principal: | |
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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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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) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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1799132561001152512 |