A moment estimator for the conditional extreme-value index
نویسندگان
چکیده
منابع مشابه
A moment estimator for the conditional extreme-value index
In extreme value theory, the so-called extreme-value index is a parameter that controls the behavior of a distribution function in its right tail. Knowing this parameter is thus essential to solve many problems related to extreme events. In this paper, the estimation of the extreme-value index is considered in the presence of a random covariate, whether the conditional distribution of the varia...
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Let fX n g be a sequence of i.i.d. random variables whose common cdf F belongs to the domain of attraction of an extreme value distribution. A frequently used estimator of the extreme value parameter is the moment estimator (Dekkers, Einmahl and de Haan, 1989). Because the moment estimator is a function of k = k(n), the number of upper order statistics used in estimation and which is only subje...
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− One of the main goals of extreme value analysis is to estimate the probability of rare events given a sample from an unknown distribution. The upper tail behavior of this distribution is described by the extreme value index. We present a new estimator of the extreme value index adapted to any domain of attraction. Its construction is similar to the one of Pickands’ estimator. Its weak consist...
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In extreme value theory, the extreme-value index is a parameter that controls the behavior of a cumulative distribution function in its right tail. Estimating this parameter is thus the first step when tackling a number of problems related to extreme events. In this paper, we introduce an estimator of the extreme-value index in the presence of a random covariate when the response variable is ri...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2013
ISSN: 1935-7524
DOI: 10.1214/13-ejs846