Adaptive estimation of a tail shape second order parameter: A computational comparative study

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2 Citations (Scopus)

Abstract

In Statistics of Extremes, the tail shape second order parameter is a relevant parameter whenever we want to improve the estimation of first order parameters. We shall consider two semi-parametric estimators of the shape second order parameter, parameterized with a tuning parameter. We provide a Monte Carlo comparative simulation study of several algorithms for the choice of such tuning parameter and for an adaptive estimation of the shape second order parameter.

Original languageEnglish
Title of host publicationInternational Conference of Computational Methods in Sciences and Engineering 2015 (ICCMSE 2015)
EditorsZ. Kalogiratou , T. E. Simos, T. Monovasilis
Place of PublicationNew York
PublisherAmerican Institute of Physics Inc.
ISBN (Print)978-073541349-8
DOIs
Publication statusPublished - 31 Dec 2015
EventInternational Conference of Computational Methods in Sciences and Engineering 2015, ICCMSE 2015 - Athens, Greece
Duration: 20 Mar 201523 Mar 2015

Publication series

NameAIP Conference Proceedings
PublisherAmerican Institute of Physics Inc.
Volume1702
ISSN (Print)0094-243X

Conference

ConferenceInternational Conference of Computational Methods in Sciences and Engineering 2015, ICCMSE 2015
CountryGreece
CityAthens
Period20/03/1523/03/15

Keywords

  • Asymptotic properties
  • Heavy tail
  • Monte Carlo simulation
  • Shape second-order parameter
  • Statistics of extremes

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