A log probability weighted moment estimator of extreme quantiles

DOI10.1007/978-3-319-18029-8_22MaRDI QIDQ3459684zbMATH OpenOpenAlexFDO

Authors Frederico Caeiro, Dora Prata Gomes

Publication date 11 January 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.3383

zbMATH Keywords

extreme quantileextreme value indexstatistics of extremeslog probability weighted momentoptimal level

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Abstract: In this paper we consider the semi-parametric estimation of extreme quantiles of a right heavy-tail model. We propose a new Log Probability Weighted Moment estimator for extreme quantiles, which is obtained from the estimators of the shape and scale parameters of the tail. Under a second-order regular variation condition on the tail, of the underlying distribution function, we deduce the non degenerate asymptotic behaviour of the estimators under study and present an asymptotic comparison at their optimal levels. In addition, the performance of the estimators is illustrated through an application to real data.

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Cited in

(2)

• A class of semi-parametric probability weighted moment estimators
• Semi-parametric probability-weighted moments estimation revisited

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