Frederico Caeiro

{Summary: In many areas of application, like, for instance, climatology, hydrology, insurance, finance, and statistical quality control, a typical requirement is to estimate a high quantile of probability $1 - p$, a value high enough so that the chance of an exceedance of that value is equal to $p$, small. The semi-parametric estimation of high quantiles depends not only on the estimation of the tail index or extreme value index $\gamma $, the primary parameter of extreme events, but also on the adequate estimation of a scale first order parameter. Recently, apart from new classes of reduced-bias estimators for $\gamma >0$, new classes of the scale first order parameter have been introduced in the literature. Their use in quantile estimation enables us to introduce new classes of asymptotically unbiased high quantiles' estimators, with the same asymptotic variance as the (biased) ``classical'' estimator. The asymptotic distributional properties of the proposed classes of estimators are derived and the estimators are compared with alternative ones, not only asymptotically, but also for finite samples through Monte Carlo techniques. An application to the log-exchange rates of the Euro against the Sterling Pound is also provided.}

In this paper we revisit the Jackson exponentiality test. We study and provide functions in R language to compute theoretical moments, the distribution function and quantiles of the statistic test. Approximations to the exact distribution function and quantiles are also provided and their precision discussed. In addition, we provide an application of the Jackson test to real data.In this paper we revisit the Jackson exponentiality test. We study and provide functions in R language to compute theoretical moments, the distribution function and quantiles of the statistic test. Approximations to the exact distribution function and quantiles are also provided and their precision discussed. In addition, we provide an application of the Jackson test to real data.

The peaks over random threshold (PORT) methodology and the Pareto probability weighted moments (PPWM) of the largest observations are used to build a class of location-invariant estimators of the Extreme Value Index (EVI), the primary parameter in statistics of extremes. The asymptotic behaviour of such a class of EVI-estimators, the so-called PORT-PPWM EVI-estimators, is derived, and an alternative class of location-invariant EVI-estimators, the generalized Pareto probability weighted moments (GPPWM) EVI-estimators is considered as an alternative. These two classes of estimators, the PORT-PPWM and the GPPWM, jointly with the classical Hill EVI-estimator and a recent class of minimum-variance reduced-bias estimators are compared for finite samples, through a large-scale Monte-Carlo simulation study. An adaptive choice of the tuning parameters under play is put forward and applied to simulated and real data sets.The peaks over random threshold (PORT) methodology and the Pareto probability weighted moments (PPWM) of the largest observations are used to build a class of location-invariant estimators of the Extreme Value Index (EVI), the primary parameter in statistics of extremes. The asymptotic behaviour of such a class of EVI-estimators, the so-called PORT-PPWM EVI-estimators, is derived, and an alternative class of location-invariant EVI-estimators, the generalized Pareto probability weighted moments (GPPWM) EVI-estimators is considered as an alternative. These two classes of estimators, the PORT-PPWM and the GPPWM, jointly with the classical Hill EVI-estimator and a recent class of minimum-variance reduced-bias estimators are compared for finite samples, through a large-scale Monte-Carlo simulation study. An adaptive choice of the tuning parameters under play is put forward and applied to simulated and real data sets.

In Statistics of Extremes, the tail shape second order parameter is a relevant parameter whenever we want to improve the estimation of first order parameters. We shall consider two semi-parametric estimators of the shape second order parameter, parameterized with a tuning parameter. We provide a Monte Carlo comparative simulation study of several algorithms for the choice of such tuning parameter and for an adaptive estimation of the shape second order parameter.In Statistics of Extremes, the tail shape second order parameter is a relevant parameter whenever we want to improve the estimation of first order parameters. We shall consider two semi-parametric estimators of the shape second order parameter, parameterized with a tuning parameter. We provide a Monte Carlo comparative simulation study of several algorithms for the choice of such tuning parameter and for an adaptive estimation of the shape second order parameter.

The number of floods in the city of Venice has increased substantially in the last decades and can be explained bythe sea level rise and land subsidence. Using Statistics of Extremes we shall model the extreme behaviour of the sea level inVenice and quantify risk through the estimation of important parameters such as return periods of high levels.The number of floods in the city of Venice has increased substantially in the last decades and can be explained bythe sea level rise and land subsidence. Using Statistics of Extremes we shall model the extreme behaviour of the sea level inVenice and quantify risk through the estimation of important parameters such as return periods of high levels.

{Summary: We are interested in an adequate estimation of the dominant component of the bias of ıt B. M. Hill}\,'s estimator [Ann. Stat. 3, 1163–1174 (1975; Zbl 0323.62033)] of a positive tail index $\gamma$, in order to remove it from the classical Hill estimator in different asymptotically equivalent ways. If the second order parameters in the bias are computed at an adequate level $k_1$ of a larger order than that of the level $k$ at which the Hill estimator is computed, there may be no change in the asymptotic variances of these reduced bias tail index estimators, which are kept equal to the asymptotic variance of the Hill estimator, i.e., equal to $\gamma^2$. The asymptotic distributional properties of the proposed estimators of $\gamma$ are derived and the estimators are compared not only asymptotically, but also for finite samples through Monte Carlo techniques.}

In many statistic methods, including distribution-free methods, we assume to work with random samples. In this note, we present randtests: an R package implementation of several nonparametric randomness tests. After a brief description of the tests included in the package, we present an application to real data sets in the field of Agricultural.In many statistic methods, including distribution-free methods, we assume to work with random samples. In this note, we present randtests: an R package implementation of several nonparametric randomness tests. After a brief description of the tests included in the package, we present an application to real data sets in the field of Agricultural.

{Summary: We are interested in the comparison, under a third-order framework, of classes of second-order, reduced-bias tail index estimators, giving particular emphasis to minimum-variance reduced-bias estimators of the tail index $\gamma$. The full asymptotic distributional properties of the proposed classes are derived under a third-order framework and the estimators are compared with other alternatives, not only asymptotically, but also for finite samples through Monte Carlo techniques. An application to the log-exchange rates of the Euro against the USA Dollar is also provided.}

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{Summary: For heavy-tailed models, and working with the sample of the $k$ largest observations, we present probability weighted moments (PWM) estimators for the first order tail parameters. Under regular variation conditions on the right-tail of the underlying distribution function $F$ we prove the consistency and asymptotic normality of these estimators. Their performance, for finite sample sizes, is illustrated through a small-scale Monte Carlo simulation.}

For heavy tails, classical extreme value index estimators, like the Hill estimator, are usually asymptotically biased. Consequently those estimators are quite sensitive to the number of top order statistics used in the estimation. The recent minimum-variance reduced-bias extreme value index estimators enable us to remove the dominant component of asymptotic bias and keep the asymptotic variance of the new estimators equal to the asymptotic variance of the Hill estimator. In this paper a new minimum-variance reduced-bias extreme value index estimator is introduced, and its non degenerate asymptotic behaviour is studied. A comparison with another important minimum-variance reduced-bias extreme value index estimator is also provided.For heavy tails, classical extreme value index estimators, like the Hill estimator, are usually asymptotically biased. Consequently those estimators are quite sensitive to the number of top order statistics used in the estimation. The recent minimum-variance reduced-bias extreme value index estimators enable us to remove the dominant component of asymptotic bias and keep the asymptotic variance of the new estimators equal to the asymptotic variance of the Hill estimator. In this paper a new minimum-variance reduced-bias extreme value index estimator is introduced, and its non degenerate asymptotic behaviour is studied. A comparison with another important minimum-variance reduced-bias extreme value index estimator is also provided.