Asymptotic Comparison at Optimal Levels of Minimum-Variance Reduced-Bias Tail-Index Estimators

Frederico Almeida Gião Gonçalves Caeiro

Asymptotic Comparison at Optimal Levels of Minimum-Variance Reduced-Bias Tail-Index Estimators

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

Abstract

In this chapter we are interested in the asymptotic comparison of a set of semi-parametric minimum-variance reduced-bias tail-index estimators, at optimal levels and for a wide class of models. Again, as in the classical case, there is not any estimator that can always dominate the alternatives, but interesting clear-cut patterns are found. Consequently, and in practice, a suitable choice of a set of tail-index estimators will jointly enable us to better estimate the tail index, the primary parameter of extreme events.

Original language	Unknown
Title of host publication	Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications
Editors	da Silva, João Lita, Frederico Caeiro, Isabel Natário, Carlos A. Braumman
Place of Publication	Berlin
Publisher	Springer Berlin Heidelberg
Pages	83-91
ISBN (Print)	978-3-642-34903-4 / 978-3-642-34904-1
Publication status	Published - 1 Jan 2013

Publication series

Name	Studies in Theoretical and Applied Statistics
Publisher	Springer Berlin Heidelberg

Cite this

Caeiro, F. A. G. G. (2013). Asymptotic Comparison at Optimal Levels of Minimum-Variance Reduced-Bias Tail-Index Estimators. In D. Silva, J. Lita, F. Caeiro, I. Natário, & C. A. Braumman (Eds.), Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications (pp. 83-91). (Studies in Theoretical and Applied Statistics). Springer Berlin Heidelberg.

Caeiro, Frederico Almeida Gião Gonçalves. / Asymptotic Comparison at Optimal Levels of Minimum-Variance Reduced-Bias Tail-Index Estimators. Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications. editor / da Silva ; João Lita ; Frederico Caeiro ; Isabel Natário ; Carlos A. Braumman. Berlin : Springer Berlin Heidelberg, 2013. pp. 83-91 (Studies in Theoretical and Applied Statistics).

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abstract = "In this chapter we are interested in the asymptotic comparison of a set of semi-parametric minimum-variance reduced-bias tail-index estimators, at optimal levels and for a wide class of models. Again, as in the classical case, there is not any estimator that can always dominate the alternatives, but interesting clear-cut patterns are found. Consequently, and in practice, a suitable choice of a set of tail-index estimators will jointly enable us to better estimate the tail index, the primary parameter of extreme events.",

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

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Caeiro, FAGG 2013, Asymptotic Comparison at Optimal Levels of Minimum-Variance Reduced-Bias Tail-Index Estimators. in D Silva, J Lita, F Caeiro, I Natário & CA Braumman (eds), Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications. Studies in Theoretical and Applied Statistics, Springer Berlin Heidelberg, Berlin, pp. 83-91.

Asymptotic Comparison at Optimal Levels of Minimum-Variance Reduced-Bias Tail-Index Estimators. / Caeiro, Frederico Almeida Gião Gonçalves.
Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications. ed. / da Silva; João Lita; Frederico Caeiro; Isabel Natário; Carlos A. Braumman. Berlin: Springer Berlin Heidelberg, 2013. p. 83-91 (Studies in Theoretical and Applied Statistics).

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

TY - CHAP

T1 - Asymptotic Comparison at Optimal Levels of Minimum-Variance Reduced-Bias Tail-Index Estimators

AU - Caeiro, Frederico Almeida Gião Gonçalves

N1 - Em minha opinião esta publicação devia ser considerada como "proceeding" e não como "book-chapter": são comunicações de conferência. Esta publicação também pode ser considerada "Book chapter". Já vi publicações semelhantes categorizadas, por exemplo, na SCOPUS, como "Book Chapter". Salima Rehemtula

PY - 2013/1/1

Y1 - 2013/1/1

N2 - In this chapter we are interested in the asymptotic comparison of a set of semi-parametric minimum-variance reduced-bias tail-index estimators, at optimal levels and for a wide class of models. Again, as in the classical case, there is not any estimator that can always dominate the alternatives, but interesting clear-cut patterns are found. Consequently, and in practice, a suitable choice of a set of tail-index estimators will jointly enable us to better estimate the tail index, the primary parameter of extreme events.

AB - In this chapter we are interested in the asymptotic comparison of a set of semi-parametric minimum-variance reduced-bias tail-index estimators, at optimal levels and for a wide class of models. Again, as in the classical case, there is not any estimator that can always dominate the alternatives, but interesting clear-cut patterns are found. Consequently, and in practice, a suitable choice of a set of tail-index estimators will jointly enable us to better estimate the tail index, the primary parameter of extreme events.

M3 - Chapter

SN - 978-3-642-34903-4 / 978-3-642-34904-1

T3 - Studies in Theoretical and Applied Statistics

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A2 - Braumman, Carlos A.

PB - Springer Berlin Heidelberg

CY - Berlin

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Caeiro FAGG. Asymptotic Comparison at Optimal Levels of Minimum-Variance Reduced-Bias Tail-Index Estimators. In Silva D, Lita J, Caeiro F, Natário I, Braumman CA, editors, Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications. Berlin: Springer Berlin Heidelberg. 2013. p. 83-91. (Studies in Theoretical and Applied Statistics).