@inproceedings{60b4e3164d9d44709fa5169102eb58c6,

title = "Modeling extreme events: sample fraction adaptive choice in parameter estimation",

abstract = "When modeling extreme events there are a few primordial parameters, among which we refer the extreme value index and the extremal index. The extreme value index measures the right tail-weight of the underlying distribution and the extremal index characterizes the degree of local dependence in the extremes of a stationary sequence. Most of the semi-parametric estimators of these parameters show the same type of behaviour: nice asymptotic properties, but a high variance for small values of k, the number of upper order statistics to be used in the estimation, and a high bias for large values of k. This shows a real need for the choice of k. Choosing some well-known estimators of those parameters we revisit the application of a heuristic algorithm for the adaptive choice of k. The procedure is applied to some simulated samples as well as to some real data sets.",

keywords = "adaptive choice, extremal index, extreme value index, sample fraction, semi-parametric estimation",

author = "Manuela Neves and Ivette Gomes and Fernanda Figueiredo and Gomes, {Dora Prata}",

note = "Research partially supported by CMA, CEAUL and National Funds through FCT. Fundacao para a Ciencia e a Tecnologia, project PEst-OE/MAT/UI0006/2011 and PTDC/FEDER.; International Conference of Numerical Analysis and Applied Mathematics, ICNAAM 2012 ; Conference date: 19-09-2012 Through 25-09-2012",

year = "2012",

month = dec,

day = "1",

doi = "10.1063/1.4756342",

language = "English",

isbn = "9780735410916",

series = "AIP Conference Proceedings",

publisher = "American Institute of Physics",

pages = "1110--1113",

editor = "Simos, {T. E.} and G. Psihoyios and C. Tsitouras and Z. Anastassi",

booktitle = "Numerical Analysis and Applied Mathematics, ICNAAM 2012 - International Conference of Numerical Analysis and Applied Mathematics",

address = "United States",

}