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Mean-of-order p reduced-bias extreme value index estimation under a third order framework

Tijdschriftbijdrage - Tijdschriftartikel

© 2016, Springer Science+Business Media New York. Reduced-bias versions of a very simple generalization of the ‘classical’ Hill estimator of a positive extreme value index (EVI) are put forward. The Hill estimator can be regarded as the logarithm of the mean-of-order-0 of a certain set of statistics. Instead of such a geometric mean, it is sensible to consider the mean-of-order-p (MOP) of those statistics, with p real. Under a third-order framework, the asymptotic behaviour of the MOP, optimal MOP and associated reduced-bias classes of EVI-estimators is derived. Information on the dominant non-null asymptotic bias is also provided so that we can deal with an asymptotic comparison at optimal levels of some of those classes. Large-scale Monte-Carlo simulation experiments are undertaken to provide finite sample comparisons.
Tijdschrift: Extremes
ISSN: 1386-1999
Issue: 4
Volume: 19
Pagina's: 561 - 589
Jaar van publicatie:2016
BOF-keylabel:ja
IOF-keylabel:ja
BOF-publication weight:1
CSS-citation score:1
Auteurs:International
Authors from:Higher Education