Mean-of-order p reduced-bias extreme value index estimation under a third-order framework

Citation:
Caeiro, Frederico, Ivette M. Gomes, Jan Beirlant, and Tertius de Wet. "Mean-of-order p reduced-bias extreme value index estimation under a third-order framework." ExtremesExtremes. 19.4 (2016): 561-589.

Abstract:

Reduced-bias versions of a very simple generalization of the ‘classical’ Hill estimator of a positive extreme value index (EVI) are put forward. The Hill estimator can be regarded as the logarithm of the mean-of-order-0 of a certain set of statistics. Instead of such a geometric mean, it is sensible to consider the mean-of-order-p (MOP) of those statistics, with p real. Under a third-order framework, the asymptotic behaviour of the MOP, optimal MOP and associated reduced-bias classes of EVI-estimators is derived. Information on the dominant non-null asymptotic bias is also provided so that we can deal with an asymptotic comparison at optimal levels of some of those classes. Large-scale Monte-Carlo simulation experiments are undertaken to provide finite sample comparisons.Reduced-bias versions of a very simple generalization of the ‘classical’ Hill estimator of a positive extreme value index (EVI) are put forward. The Hill estimator can be regarded as the logarithm of the mean-of-order-0 of a certain set of statistics. Instead of such a geometric mean, it is sensible to consider the mean-of-order-p (MOP) of those statistics, with p real. Under a third-order framework, the asymptotic behaviour of the MOP, optimal MOP and associated reduced-bias classes of EVI-estimators is derived. Information on the dominant non-null asymptotic bias is also provided so that we can deal with an asymptotic comparison at optimal levels of some of those classes. Large-scale Monte-Carlo simulation experiments are undertaken to provide finite sample comparisons.

Notes:

Fundacao para a Ciencia e a Tecnologia (FCT) - UID/MAT/00006/2013 (CEA/UL) ; UID/MAT/00297/2013 (CMA/UNL)COST Action - IC1408
KU Leuven project - HSTRT/14/001

Related External Link