Bias reduction of a tail index estimator through an external estimation of the second-order parameter

• Tipo: Artigo em Revista Científica Internacional
• Data: 2004

Autores

gomes, mi (Autor) Outra; caeiro, f (Autor) Outra; figueiredo, f (Autor) FEP

Revista

Título: Statistics

Vol. 38

Páginas: 497-510

ISSN: 0233-1888

Editora: Taylor & Francis

Indexação

ISI Web of Knowledge - 30 Citações

ISI Web of Science

Scopus - 28 Citações

Classificação Científica

FOS: Ciências exactas e naturais > Matemática

Outras Informações

ID Authenticus: P-000-7N2

DOI: 10.1080/02331880412331284304

Abstract (EN): In this paper, we first consider a class of consistent semi-parametric estimators of a positive tail index gamma, parameterised in a tuning or control parameter alpha. Such a control parameter enables us to have access, for any available sample, to an estimator of the tail index gamma with a null dominant component of asymptotic bias, and consequently with a reasonably flat mean squared error pattern, as a function of k, the number of top-order statistics considered. Such a control parameter depends on a second-order parameter rho, which will be adequately estimated so that we may achieve a high efficiency relative to the classical Hill estimator, provided we use a number of top-order statistics larger than the one usually required for the estimation through the Hill estimator. An illustration of the behaviour of the estimators is provided, through the analysis of the daily log-returns on the Emo-US$ exchange rates.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 14