@article {11650, title = {A new partially reduced-bias mean-of-order p class of extreme value index estimators}, journal = {Computational Statistics \& Data AnalysisComputational Statistics \& Data Analysis}, volume = {82}, year = {2015}, note = {

Sem PDF.National Funds through FCT-Fundacao para a Ciencia e a Tecnologia (PEst-OE/MAT/UI0006/2014; PEst-OE/MAT/UIO297/2014)

}, month = {2015}, pages = {223 - 227}, abstract = {

A class of partially reduced-bias estimators of a positive extreme value index (EVI), related to a mean-of-order-p class of EVI-estimators, is introduced and studied both asymptotically and for finite samples through a Monte-Carlo simulation study. A comparison between this class and a representative class of minimum-variance reduced-bias (MVRB) EVI-estimators is further considered. The MVRB EVI-estimators are related to a direct removal of the dominant component of the bias of a classical estimator of a positive EVI, the Hill estimator, attaining as well minimal asymptotic variance. Heuristic choices for the tuning parameters p and k, the number of top order statistics used in the estimation, are put forward, and applied to simulated and real data.A class of partially reduced-bias estimators of a positive extreme value index (EVI), related to a mean-of-order-p class of EVI-estimators, is introduced and studied both asymptotically and for finite samples through a Monte-Carlo simulation study. A comparison between this class and a representative class of minimum-variance reduced-bias (MVRB) EVI-estimators is further considered. The MVRB EVI-estimators are related to a direct removal of the dominant component of the bias of a classical estimator of a positive EVI, the Hill estimator, attaining as well minimal asymptotic variance. Heuristic choices for the tuning parameters p and k, the number of top order statistics used in the estimation, are put forward, and applied to simulated and real data.

}, keywords = {bias estimation, Heavy right-tails, Heuristic methods, Optimal levels, semi-parametric estimation, Statistics of extremes}, isbn = {0167-9473}, url = {http://www.scopus.com/inward/record.url?scp=84907899862\&partnerID=8YFLogxK}, author = {Gomes, M. Ivette and Brilhante,M. F{\'a}tima and Caeiro, Frederico and Pestana, Dinis} }