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Journal article Scopus Source The journal / series is indexed in Scopus (SCImago list). The article itself has not been verified. 13 Citations Quartil Q2

A heuristic adaptive choice of the threshold for bias-corrected Hill estimators

Gomes, M.I. , Rodrigues, L. , Vandewalle, B. , Viseu, C.
ISLA — Instituto Politécnico de Gestão e Tecnologia
Journal of Statistical Computation and Simulation, Volume 78, Issue 2, 2008, pp. 133–150
DOI: 10.1080/10629360600954000

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Abstract
We shall deal with specific classes of the second-order reduced bias extreme value index estimators, devised for heavy tails. In those classes, the second-order parameters in the bias are estimated at a level k 1 of a larger order than that of the level k at which we compute the extreme value index estimator, and by doing this, it is possible to keep the asymptotic variance of the new estimators equal to the asymptotic variance of the Hill estimator, the maximum-likelihood estimator of the extreme value index γ, under a strict Pareto model. On the basis of an adequate pair of this type of extreme value index estimators, we also provide a heuristic adaptive choice of the threshold in reduced bias estimation and we proceed to an intensive computer simulation that enables us to study, through Monte-Carlo techniques, the behavior of the non-adaptive and adaptive proposed estimators. An illustration of the behavior of these estimators for sets of real data in the fields of finance and insurance is also provided.

Keywords

#Hill estimator #extreme value index #bias correction #heavy-tailed distributions #threshold selection #Pareto distribution #asymptotic variance #maximum likelihood estimator #tail index estimation #insurance #Estimator #Mathematics #Heuristic #Variance (accounting) #Monte Carlo method #extreme value theory #Statistics

Bibliographic Details

Publication Type Journal article
Publication Year 2008
Journal / Conference / Work Journal of Statistical Computation and Simulation
Volume / Issue Vol. 78 (2)
Pagination pp. 133–150
Quartile (SCImago) Q2
Scopus Indexing Indexed source (via SCImago)

ISLA Authors & Affiliations

C
Clara Margarida Pisco Viseu
claraviseu@gmail.com ID: 3E12-C3CE-B48F
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L
Luis António da Silva Rodrigues
lsr@iscap.ipp.pt ID: B018-D662-D46E
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