On the bootstrap methodology for the estimation of the tail sample fraction

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

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.
Original languageUnknown
Title of host publicationProceedings of COMPSTAT 2014
Pages545-552
Publication statusPublished - 1 Jan 2014
EventCOMPSTAT 2014: 21th International Conference on Computational Statistics -
Duration: 1 Jan 2014 → …

Conference

ConferenceCOMPSTAT 2014: 21th International Conference on Computational Statistics
Period1/01/14 → …

Cite this