A log probability weighted moment estimator of extreme quantiles

Frederico Caeiro; Dora Susana Raposo Prata Gomes

doi:10.1007/978-3-319-18029-8_22

A log probability weighted moment estimator of extreme quantiles

Frederico Caeiro, Dora Susana Raposo Prata Gomes

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

4 Citations (Scopus)

Abstract

In this paper we consider the semi-parametric estimation of extreme quantiles of a right heavy-tail model. We propose a new Probability Weighted Moment estimator for extreme quantiles, which is obtained from the estimators of the shape and scale parameters of the tail. Under a second-order regular variation condition on the tail, of the underlying distribution function, we deduce the non degenerate asymptotic behaviour of the estimators under study and present an asymptotic comparison at their optimal levels. In addition, the performance of the estimators is illustrated through an application to real data.

Original language	English
Title of host publication	Theory and Practice of Risk Assessment - ICRA5 2013
Publisher	Springer New York LLC
Pages	293-303
Number of pages	11
Volume	136
ISBN (Electronic)	978-331918028-1
DOIs	https://doi.org/10.1007/978-3-319-18029-8_22
Publication status	Published - 2015
Event	5th International Conference on Risk Analysis, ICRA5 2013 - Tomar, Portugal Duration: 30 May 2013 → 1 Jun 2013

Conference

Conference	5th International Conference on Risk Analysis, ICRA5 2013
Country/Territory	Portugal
City	Tomar
Period	30/05/13 → 1/06/13

Keywords

Extreme quantile
Extreme value index
Log probability weighted moment
Optimal level
Statistics of extremes

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10.1007/978-3-319-18029-8_22Licence: Unspecified

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title = "A log probability weighted moment estimator of extreme quantiles",

abstract = "In this paper we consider the semi-parametric estimation of extreme quantiles of a right heavy-tail model. We propose a new Probability Weighted Moment estimator for extreme quantiles, which is obtained from the estimators of the shape and scale parameters of the tail. Under a second-order regular variation condition on the tail, of the underlying distribution function, we deduce the non degenerate asymptotic behaviour of the estimators under study and present an asymptotic comparison at their optimal levels. In addition, the performance of the estimators is illustrated through an application to real data.",

keywords = "Extreme quantile, Extreme value index, Log probability weighted moment, Optimal level, Statistics of extremes",

author = "Frederico Caeiro and Gomes, {Dora Susana Raposo Prata}",

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TY - GEN

T1 - A log probability weighted moment estimator of extreme quantiles

AU - Caeiro, Frederico

AU - Gomes, Dora Susana Raposo Prata

N1 - sem pdf conforme despacho

PY - 2015

Y1 - 2015

N2 - In this paper we consider the semi-parametric estimation of extreme quantiles of a right heavy-tail model. We propose a new Probability Weighted Moment estimator for extreme quantiles, which is obtained from the estimators of the shape and scale parameters of the tail. Under a second-order regular variation condition on the tail, of the underlying distribution function, we deduce the non degenerate asymptotic behaviour of the estimators under study and present an asymptotic comparison at their optimal levels. In addition, the performance of the estimators is illustrated through an application to real data.

AB - In this paper we consider the semi-parametric estimation of extreme quantiles of a right heavy-tail model. We propose a new Probability Weighted Moment estimator for extreme quantiles, which is obtained from the estimators of the shape and scale parameters of the tail. Under a second-order regular variation condition on the tail, of the underlying distribution function, we deduce the non degenerate asymptotic behaviour of the estimators under study and present an asymptotic comparison at their optimal levels. In addition, the performance of the estimators is illustrated through an application to real data.

KW - Extreme quantile

KW - Extreme value index

KW - Log probability weighted moment

KW - Optimal level

KW - Statistics of extremes

UR - http://www.scopus.com/inward/record.url?scp=84946404285&partnerID=8YFLogxK

U2 - 10.1007/978-3-319-18029-8_22

DO - 10.1007/978-3-319-18029-8_22

M3 - Conference contribution

AN - SCOPUS:84946404285

VL - 136

SP - 293

EP - 303

BT - Theory and Practice of Risk Assessment - ICRA5 2013

PB - Springer New York LLC

T2 - 5th International Conference on Risk Analysis, ICRA5 2013

Y2 - 30 May 2013 through 1 June 2013

ER -

A log probability weighted moment estimator of extreme quantiles

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Keywords

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