A new partially reduced-bias mean-of-order p class of extreme value index estimators

Citation:
Gomes, Ivette M., Fátima M. Brilhante, Frederico Caeiro, and Dinis Pestana. "A new partially reduced-bias mean-of-order p class of extreme value index estimators." Computational Statistics & Data AnalysisComputational Statistics & Data Analysis. 82 (2015): 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.

Notes:

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

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