Utilize este identificador para referenciar este registo: http://hdl.handle.net/1822/36656

TítuloEstimating the tail index: another algorithmic method
Autor(es)Ferreira, Marta Susana
Palavras-chaveExtreme value theory
Hill estimator
Generalized Hill estimator
RevistaProbstat Forum
Resumo(s)The tail index is a determinant parameter within extreme value theory. Under a semiparametric approach, one has often to choose the number of the largest order statistics to include in estimates. This is a hard task since it is not possible to know for sure where the tail of data really begins. This crucial topic has been largely addressed in literature and several methods were developed. In this paper we analyze, through simulation, a heuristic method and compare it with two very popular methodologies. It will be seen that the new method can be a good alternative.
Versão da editorahttp://probstat.org.in/PSF-2015-05.pdf
Arbitragem científicayes
Aparece nas coleções:CMAT - Artigos com arbitragem/Papers with refereeing

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
PSF-2015-05.pdfDocumento principal141,65 kBAdobe PDFVer/Abrir

Partilhe no FacebookPartilhe no TwitterPartilhe no DeliciousPartilhe no LinkedInPartilhe no DiggAdicionar ao Google BookmarksPartilhe no MySpacePartilhe no Orkut
Exporte no formato BibTex mendeley Exporte no formato Endnote Adicione ao seu Currículo DeGóis