A Reduced Bias Estimator of a 'Scale' Second Order Parameter

Frederico Almeida Gião Gonçalves Caeiro

doi:10.1063/1.4756343

A Reduced Bias Estimator of a 'Scale' Second Order Parameter

Frederico Almeida Gião Gonçalves Caeiro

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

3 Citations (Scopus)

Abstract

In this paper we are interested in the semi-parametric estimation of a scale second order parameter, an important parameter related to the speed of convergence of maximum values, linearly normalized, towards its limit law. The asymptotic distributional properties of a new proposed estimator of a scale second order parameter are derived and an illustration with one simulated sample is presented.

Original language	Unknown
Title of host publication	AIP Conference Proceedings
Pages	1114-1117
DOIs	https://doi.org/10.1063/1.4756343
Publication status	Published - 1 Jan 2012
Event	International Conference of Numerical Analysis and Applied Mathematics (ICNAAM) - Duration: 1 Jan 2012 → …

Conference

Conference	International Conference of Numerical Analysis and Applied Mathematics (ICNAAM)
Period	1/01/12 → …

Access to Document

10.1063/1.4756343

Cite this

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title = "A Reduced Bias Estimator of a 'Scale' Second Order Parameter",

abstract = "In this paper we are interested in the semi-parametric estimation of a scale second order parameter, an important parameter related to the speed of convergence of maximum values, linearly normalized, towards its limit law. The asymptotic distributional properties of a new proposed estimator of a scale second order parameter are derived and an illustration with one simulated sample is presented.",

keywords = "Second order parameters, Statistics of extremes, Extreme value index, Heavy tails, Semi-parametric estimation",

author = "Caeiro, {Frederico Almeida Gi{\~a}o Gon{\c c}alves}",

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AB - In this paper we are interested in the semi-parametric estimation of a scale second order parameter, an important parameter related to the speed of convergence of maximum values, linearly normalized, towards its limit law. The asymptotic distributional properties of a new proposed estimator of a scale second order parameter are derived and an illustration with one simulated sample is presented.

KW - Second order parameters

KW - Statistics of extremes

KW - Extreme value index

KW - Heavy tails

KW - Semi-parametric estimation

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DO - 10.1063/1.4756343

M3 - Conference contribution

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EP - 1117

BT - AIP Conference Proceedings

Y2 - 1 January 2012

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