PORT-ESTIMATION OF A SHAPE SECOND-ORDER PARAMETER

被引：0

作者：

Rodrigues, Ligia Henriques ^{[1
]}

Gomes, M. Ivette ^{[1
,2
]}

Alves, M. Isabel Fraga ^{[1
,2
]}

Neves, Claudia ^{[3
,4
]}

机构：

[1] Univ Lisbon, CEAUL, P-1699 Lisbon, Portugal

[2] Univ Lisbon, FCUL, DEIO, P-1699 Lisbon, Portugal

[3] Univ Aveiro, CEAUL, Aveiro, Portugal

[4] Univ Aveiro, Dept Math, Aveiro, Portugal

来源：

REVSTAT-STATISTICAL JOURNAL | 2014年 / 12卷 / 03期

关键词：

asymptotic properties; location/scale invariant estimation; Monte-Carlo simulation; PORT methodology; sample of excesses; semi-parametric estimation; shape second-order parameters; statistics of extremes; third-order framework; MOMENT ESTIMATOR; INDEX ESTIMATION; TAIL INDEX; BIAS; STATISTICS; HILL;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we study, under a semi-parametric framework and for heavy right tails, a class of location invariant estimators of a shape second-order parameter, ruling the rate of convergence of the normalised sequence of maximum values to a non-degenerate limit. This class is based on the PORT methodology, with PORT standing for peaks over random thresholds. Asymptotic normality of such estimators is achieved under a third-order condition on the right-tail of the underlying model F and for suitable large intermediate ranks. An illustration of the finite sample behaviour of the estimators is provided through a small-scale Monte-Carlo simulation study.

引用

页码：299 / 328

页数：30

共 34 条

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