Publications

Export 55 results:
Sort by: Author Title Type [ Year  (Desc)]
2013
F., Caeiro, and Gomes M.I. "A Class of Semi-parametric Probability Weighted Moment Estimators." Recent Developments in Modeling and Applications in Statistics. Studies in Theoretical and Applied Statistics. Springer Berlin Heidelberg, 2013. 139-147. Abstract
n/a
M.I., Gomes, Henriques-Rodrigues L., and Caeiro F. "Refined Estimation of a Light Tail: An Application to Environmental Data." Advances in Theoretical and Applied Statistics. Ed. Fortunato; Bar-Hen Avner(Eds.) Torelli, Nicola; Pesarin. Studies in Theoretical and Applied Statistics. Springer Berlin Heidelberg, 2013. 143-153. Abstract
n/a
Lita da Silva, J., F. Caeiro, I. Natário, and C. A. Braumann Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications. Berlin Heidelberg: Springer, 2013.productflyer_978-3-642-34903-4.pdf
Caeiro, F., M. I. Gomes, and L. Henriques-Rodrigues A location invariant probability weighted moment EVI-estimator. Notas e Comunicações do CEAUL 30/2013, 2013.2013_30_port-ppwm-final.pdf
2012
J, Beirlant, Caeiro F, and Gomes MI. "An Overview And Open Research Topics In Statistics Of Univariate Extremes." 10 (2012): 1-31. Abstract
n/a
M.I., Gomes, Caeiro F., and Henriques-Rodrigues L. PORT-PPWM extreme value index estimation. Proceedings of COMPSTAT 2012., 2012. Abstract2012_compstat2012.pdf

n/a

2011
Caeiro, F., and M. I. Gomes. "Probability weighted moments bootstrap estimation: a case study in the field of insurance." Risk and Extreme Values in Insurance and Finance: Book of Abstracts. Lisbon: CEAUL, 2011. 27-30.rev2011_caeiro_gomes.pdf
Caeiro, Frederico, and M.Ivette Gomes. "Semi-parametric tail inference through probability-weighted moments." J. Stat. Plann. Inference. 141 (2011): 937-950. Abstract

{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.}

2010
Caeiro, Frederico, and M.Ivette Gomes. "An asymptotically unbiased moment estimator of a negative extreme value index." Discuss. Math., Probab. Stat.. 30 (2010): 5-19. Abstract

{Summary: We consider a new class of consistent semi-parametric estimators of a negative extreme value index, based on the set of the $k$ largest observations. This class of estimators depends on a control or tuning parameter, which enables us to have access to an estimator with a null second-order component of asymptotic bias, and with a rather interesting mean squared error, as a function of $k$. We study the consistency and asymptotic normality of the proposed estimators. Their finite sample behaviour is obtained through Monte Carlo simulation.}

2009
Caeiro, F., M. I. Gomes, and D. Pestana Alguns resultados adicionais sobre a variância de um estimador de viés reduzido do índice de cauda.. Eds. Correia Ferreira Dias Braumann E. F. S. e Oliveira, I. Actas do XVI Congresso Anual da Sociedade Portuguesa de Estatística - "Arte de Explicar o Acaso"., 2009. Abstract2009spe_art016.pdf

n/a

Gomes, M.Ivette, Dinis Pestana, and Frederico Caeiro. "A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator." Stat. Probab. Lett.. 79 (2009): 295-303. Abstract

n/a

Caeiro, Frederico, M.Ivette Gomes, and Lígia Henriques Rodrigues. "Reduced-bias tail index estimators under a third-order framework." Commun. Stat., Theory Methods. 38 (2009): 1019-1040. Abstract

{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.}

Caeiro, Frederico, and M.Ivette Gomes. "Semi-parametric second-order reduced-bias high quantile estimation." Test. 18 (2009): 392-413. Abstract

{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.}

2008
Caeiro, F., and M. I. Gomes Caudas pesadas: t de Student e variante assimétrica versus metodologia semi-paramétrica.. Actas do XV Congresso Anual da Sociedade Portuguesa de Estatística - “Da Teoria à Prática”. Lisboa, 2008.art053.pdf
Caeiro, Frederico, and M.Ivette Gomes. "Minimum-variance reduced-bias tail index and high quantile estimation." REVSTAT. 6 (2008): 1-20. Abstract

{Summary: Heavy tailed-models are quite useful in many fields, like insurance, finance, telecommunications, internet traffic, among others, and it is often necessary to estimate a high quantile, i.e., a value that is exceeded with a probability $p$, small. The semiparametric estimation of this parameter relies essentially on the estimation of the tail index, the primary parameter in statistics of extremes. Classical semi-parametric estimators of extreme parameters show usually a severe bias and are known to be very sensitive to the number $k$ of top order statistics used in the estimation. For $k$ small they have a high variance, and for large $k$ a high bias. Recently, new second-order ``shape'' and ``scale'' estimators allowed the development of second-order reduced-bias estimators, which are much less sensitive to the choice of $k$. Here we study, under a third order framework, minimum-variance reduced-bias (MVRB) tail index estimators, recently introduced in the literature, and dependent on an adequate estimation of second order parameters. The improvement comes from the asymptotic variance, which is kept equal to the asymptotic variance of the classical Hill estimator [ıt B. Hill}, Ann. Stat. 3, 1163–1174 (1975; Zbl 0323.62033)] provided that we estimate the second order parameters at a level of a larger order than the level used for the estimation of the first order parameter. The use of those MVRB tail index estimators enables us to introduce new classes of reduced-bias high quantile estimators. These new classes are compared among themselves and with previous ones through the use of a small-scale Monte Carlo simulation.}

2007
Caeiro, F., and M. I. Gomes Second-order Reduced-bias Tail Index and High Quantile Estimation. 56th SESSION OF THE INTERNATIONAL STATISTICAL INSTITUTE. Lisbon, Portugal, 2007.2007isi_volume_lxii_proceedings_caeiro_gomes.pdf
2006
Caeiro, F., and M. I. Gomes Estimação de quantis elevados em estatística de extremos. Actas do XIII Congresso Anual da Sociedade Portuguesa de Estatística - "Ciência Estatística"., 2006.2006spe217-228.pdf
Caeiro, Frederico, and M.Ivette Gomes. "A new class of estimators of a ``scale'' second order parameter." Extremes. 9 (2006): 193-211. Abstract

{Let $X_i$ be i.i.d. r.v.s with heavy-tailed CDF $F(x)$ such that $$1-F(x)=(x/C)^{-1/\gamma}((1+(\beta/\rho)(x/C)^{\rho/\gamma} +\beta'(x/C)^{2\rho/\gamma}(1+o(1))),$$ where $\gamma$ is the tail index ($\gamma>0$), and $\rho<0$ and $\beta$ are the ``second order parameters''. The authors construct an estimator for $\beta$ based on the ``tail moments'' $$M_n^{(\alpha)}=(k)^{-1}\sum_{i=1}^k [łog X_{n-i+1:n}-łog X_{n-k:n}]^\alpha. $$ Consistency and asymptotic normality of the estimator are demonstrated. The small sample properties of the estimator are investigated via simulations.}

Caeiro, F., and M. I. Gomes Redução de viés na estimação semi-paramétrica de um parâmetro de escala. Actas do XIII Congresso da SPE - "Ciência Estatística"., 2006.2006spe_127-148.pdf
2005
Caeiro, Frederico, M.Ivette Gomes, and Dinis Pestana. "Direct reduction of bias of the classical Hill estimator." REVSTAT. 3 (2005): 113-136. Abstract

{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.}