Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms

DOI10.1080/00949655.2011.652113zbMath1431.62212OpenAlexW2153226289MaRDI QIDQ2862408

M. Ivette Gomes, M. Isabel Fraga Alves, B. G. Manjunath, Lígia Henriques-Rodrigues

Publication date: 15 November 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.652113

zbMATH Keywords

bias reductionsemiparametric estimationextreme value indexstatistics of extremesheuristic methodsGARCH processeslocation/scale invariant estimationadaptive choices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (11)

Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application ⋮ A new partially reduced-bias mean-of-order \(p\) class of extreme value index estimators ⋮ Competitive estimation of the extreme value index ⋮ Non-regular frameworks and the mean-of-order \(p\) Extreme value index estimation ⋮ Corrected-Hill versus partially reduced-bias value-at-risk estimation ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ Generalized Jackknife-Based Estimators for Univariate Extreme-Value Modeling ⋮ A simple generalisation of the Hill estimator ⋮ A location-invariant probability weighted moment estimation of the Extreme Value Index ⋮ Estimation of a scale second-order parameter related to the PORT methodology ⋮ Lehmer's mean-of-order- p extreme value index estimation: a simulation study and applications

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