Bias-corrected geometric-type estimators of the tail index

• Type: Article in International Scientific Journal
• Date: 2016

Authors

Margarida Brito (Author) FEUP; Laura Cavalcante (Author) Other; Ana Cristina Moreira Freitas (Author) FEP

Journal

Title: Journal of Physics A: Mathematical and Theoretical

Vol. 49 No. 21

Pages: 1-38

ISSN: 1751-8113

Publisher: Institute of Physics Publishing

Indexing

ISI Web of Knowledge - 0 Citations

Scopus - 2 Citations

INSPEC

Other information

Authenticus ID: P-00K-FGG

DOI: 10.1088/1751-8113/49/21/214003

Abstract (EN): The estimation of the tail index is a central topic in extreme value analysis. We consider a geometric-type estimator for the tail index and study its asymptotic properties. We propose here two asymptotic equivalent bias-corrected geometric-type estimators and establish the corresponding asymptotic behaviour. We also apply the suggested estimators to construct asymptotic confidence intervals for this tail parameter. Some simulations in order to illustrate the finite sample behaviour of the proposed estimators are provided.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 38