A log probability weighted moment estimator of extreme quantiles
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Publication:3459684
DOI10.1007/978-3-319-18029-8_22zbMATH Open1329.62223arXiv1401.3383OpenAlexW2097652991MaRDI QIDQ3459684FDOQ3459684
Authors: Frederico Caeiro, Dora Prata Gomes 
Publication date: 11 January 2016
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1401.3383
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