The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction (Q1409828)
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scientific article; zbMATH DE number 1995752
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| English | The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction |
scientific article; zbMATH DE number 1995752 |
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The bootstrap methodology in statistics of extremes -- choice of optimal sample fraction (English)
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22 October 2003
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The Hill estimator \(\widehat\gamma_n=n^{-1} \sum_{i=1}^K(\ln X_{n-i:n}-\ln X_{n-k:n})\) is considered for an i.i.d. sample \(X_1\),\dots, \(X_n\). Bootstrap methodologies of the optimal choice of sample proportion \(k/n\) are discussed. The techniques of bootstrapped MSE and asymptotic MSE optimization are described. As an alternative the use of auxiliary statistics is discussed. Different approaches are compared via simulation.
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semi-parametric estimation
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MSE
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Hill estimator
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0.8519049286842346
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0.8148433566093445
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0.8089746832847595
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0.8089746832847595
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