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 › peer-review

4 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

@inproceedings{88415a4fb2554432b5302a05e2aef428,

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\}",

year = "2012",

month = jan,

day = "1",

doi = "10.1063/1.4756343",

language = "Unknown",

isbn = "978-0-7354-1091-6",

pages = "1114--1117",

booktitle = "AIP Conference Proceedings",

note = "International Conference of Numerical Analysis and Applied Mathematics (ICNAAM) ; Conference date: 01-01-2012",

}

TY - GEN

T1 - A Reduced Bias Estimator of a 'Scale' Second Order Parameter

AU - Caeiro, Frederico Almeida Gião Gonçalves

PY - 2012/1/1

Y1 - 2012/1/1

N2 - 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.

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

U2 - 10.1063/1.4756343

DO - 10.1063/1.4756343

M3 - Conference contribution

SN - 978-0-7354-1091-6

SP - 1114

EP - 1117

BT - AIP Conference Proceedings

T2 - International Conference of Numerical Analysis and Applied Mathematics (ICNAAM)

Y2 - 1 January 2012

ER -