Refined Estimation of a Light Tail: An Application to Environmental Data

M. Ivette Gomes, Lígia Henriques-Rodrigues, Frederico Almeida Gião Gonçalves Caeiro

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Citation (Scopus)

Abstract

In this chapter, we consider a recent class ofgeneralized negative momentestimators of a negative extreme value index, the primary parameter instatistics of extremes. Apart from the usual integer parameterk, related to the number of top order statistics involved in the estimation, these estimators depend on an extra real parameterθ, which makes them highly flexible and possibly second-order unbiased for a large variety of models. In this chapter, we are interested not only on the adaptive choice of thetuningparameterskandθ, but also on an application of these semi-parametric estimators to the analysis of sets of environmental and simulated data.
Original languageEnglish
Title of host publicationAdvances in Theoretical and Applied Statistics
EditorsNicola Torelli, Fortunato Pesarin, Avner Bar-Hen
Place of PublicationBerlin
PublisherSpringer Berlin Heidelberg
Pages143-153
ISBN (Print)978-3-642-35587-5 / 978-3-642-35588-2
Publication statusPublished - 2013

Publication series

NameStudies in Theoretical and Applied Statistics
PublisherSpringer Berlin Heidelberg

Keywords

  • Bias reduction
  • Extreme value index
  • Moment estimator
  • Semi-parametric estimation

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