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https://hdl.handle.net/1822/39104
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Campo DC | Valor | Idioma |
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dc.contributor.author | Ferreira, Marta Susana | por |
dc.contributor.author | Rebelo, Márcio Pereira | por |
dc.date.accessioned | 2015-12-21T16:49:38Z | - |
dc.date.available | 2015-12-21T16:49:38Z | - |
dc.date.issued | 2015-10 | - |
dc.identifier.uri | https://hdl.handle.net/1822/39104 | - |
dc.description.abstract | 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. | por |
dc.description.sponsorship | Fundação para a Ciência e Tecnologia (FCT): CEMAT (UID/MULTI/04621/2013) | por |
dc.language.iso | eng | por |
dc.relation | info:eu-repo/grantAgreement/FCT/5876/147271/PT | por |
dc.rights | openAccess | por |
dc.subject | Extreme value theory | por |
dc.subject | Tail index estimation Monte-Carlo simulations | por |
dc.title | On the Hill estimator: a comparison of methods | por |
dc.type | conferencePaper | - |
dc.peerreviewed | yes | por |
sdum.publicationstatus | published | por |
oaire.citationConferenceDate | 22 - 24 out. 2015 | por |
sdum.event.type | conference | por |
oaire.citationConferencePlace | Lugo, Espanha | por |
oaire.citationTitle | XII Congreso Galego de Estatística e Investigación de Operacións | por |
dc.subject.fos | Ciências Naturais::Matemáticas | - |
sdum.conferencePublication | XII Congreso Galego de Estatística e Investigación de Operacións | por |
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Ficheiro | Descrição | Tamanho | Formato | |
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art-sgapeio2015-esFerreiraRebelo.pdf | 87,89 kB | Adobe PDF | Ver/Abrir |