``Asymptotically unbiased'' estimators of the tail index based on external estimation of the second order parameter (Q1424663): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 04:18, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | ``Asymptotically unbiased'' estimators of the tail index based on external estimation of the second order parameter |
scientific article |
Statements
``Asymptotically unbiased'' estimators of the tail index based on external estimation of the second order parameter (English)
0 references
16 March 2004
0 references
Estimators of the tail index \(\gamma\) of a CDF \(F\) by i.i.d. samples \(X=(X_1,\dots,X_n)\) are investigated in the case were the second order condition \[ \lim_{t\to\infty} (\ln U(tx)-\ln U(t)-\gamma\ln x)/ D\gamma t^\rho =(x^\rho-1)/ \rho \quad \forall x>0 \] holds for \(U(t)=F^{-1}(1-1/t)\). (Recall that \(\gamma=\lim_{t\to\infty}(\ln U(tx)-\ln U(t))/\ln x\)). The authors consider the approximate maximum likelihood estimator \((\widehat\gamma,\widehat D,\widehat\rho)\) for \((\gamma,D,\rho)\) based on \(k\) maximal order statistics of \(X\). Asymptotics of this estimator are investigated. The estimator \(\hat \gamma\) is compared with other estimators for \(\gamma\) via simulations.
0 references
extremes
0 references
semi-parametric estimation
0 references
generalized jackknife statistics
0 references
approximate maximum likelihood estimator
0 references