In statistics of extremes we are usually interested in the estimation of pa- rameters of extreme events. Such estimation is usually based on the largest k + 1 order statistics or on the excesses over a high level u. In this paper, we consider the adaptive estimation of either k or u through the nonparametric bootstrap methodology. We shall introduce an improved version of Hall’s bootstrap methodology and compare it with the double bootstrap methodology. The comparison of such methodologies is performed for simulated data sets.
|Title of host publication||Proceedings of COMPSTAT 2014|
|Publication status||Published - 1 Jan 2014|
|Event||COMPSTAT 2014: 21th International Conference on Computational Statistics - |
Duration: 1 Jan 2014 → …
|Conference||COMPSTAT 2014: 21th International Conference on Computational Statistics|
|Period||1/01/14 → …|