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https://hdl.handle.net/1822/39104
Título: | On the Hill estimator: a comparison of methods |
Autor(es): | Ferreira, Marta Susana Rebelo, Márcio Pereira |
Palavras-chave: | Extreme value theory Tail index estimation Monte-Carlo simulations |
Data: | Out-2015 |
Resumo(s): | Extreme value theory (EVT) deals with the occurrence of extreme phenomena. The tail index is a very important parameter appearing in the estimation of the probability of rare events. Under a semiparametric framework, inference requires the choice of a number k of upper order statistics to be considered. This is the crux of the matter and there is no definite formula to do it, since a small k leads to high variance and large values of k tend to increase the bias. Several methodologies have emerged in literature, specially concerning the most popular Hill estimator (Hill, 1975). In this work we compare through simulation well-known procedures presented in Drees and Kaufmann (1998), Matthys and Beirlant (2000), Beirlant et al. (2002) and de Sousa and Michailidis (2004), with a heuristic scheme considered in Frahm et al. (2005) within the estimation of a different tail measure but with a similar context. We will see that the new method may be an interesting alternative. |
Tipo: | Artigo em ata de conferência |
URI: | https://hdl.handle.net/1822/39104 |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
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Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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art-sgapeio2015-esFerreiraRebelo.pdf | 87,89 kB | Adobe PDF | Ver/Abrir |