Frederico Caeiro

Citation:

Caeiro, F., & Gomes M. I. (2011).  Semi-parametric tail inference through probability-weighted moments.. J. Stat. Plann. Inference. 141, 937-950., Number 2

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.}

Notes:

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