New reduced-bias estimators of a positive extreme value index
Noting that the classical Hill estimator of a positive extreme value index (EVI) is the logarithm
of the mean of order-0 of a set of certain statistics, a more general class of EVI-estimators …
of the mean of order-0 of a set of certain statistics, a more general class of EVI-estimators …
[PDF][PDF] An Efficient Naive Generalisation of the Hill Estimator: Discrepancy between Asymptotic and Finite Sample Behaviour
The Lehmer mean of order p of k positive numbers (a1,..., ak) is defined by∑ ki= 1 api/∑ ki=
1 ap− 1 i, generalizing both the arithmetic mean (p= 1) and the harmonic mean (p= 0). Given …
1 ap− 1 i, generalizing both the arithmetic mean (p= 1) and the harmonic mean (p= 0). Given …
Modeling extreme events: sample fraction adaptive choice in parameter estimation
MM Neves, MI Gomes, F Figueiredo… - Journal of Statistical …, 2015 - Springer
When modeling extreme events, there are a few primordial parameters, among which we
refer to the extreme value index (EVI) and the extremal index (EI). Under a framework …
refer to the extreme value index (EVI) and the extremal index (EI). Under a framework …
A couple of non reduced bias generalized means in extreme value theory: an asymptotic comparison
Lehmer's mean-of-order p (L p) generalizes the arithmetic mean, and L p extreme value
index (EVI)-estimators can be easily built, as a generalization of the classical Hill EVI …
index (EVI)-estimators can be easily built, as a generalization of the classical Hill EVI …
[PDF][PDF] Extreme Value Analysis: a brief overview with an application to flow discharge rate data in a hydrometric station in the north of Portugal.
HACFA Penalva, SCD Nunes… - Revstat Statistical Journal, 2016 - comum.rcaap.pt
Extreme value theory is dedicated to characterise the behaviour of the extreme
observations. The interest is then focused in the tails of the underlying distribution. It is …
observations. The interest is then focused in the tails of the underlying distribution. It is …
A Mean-of-Order- Class of Value-at-Risk Estimators
The main objective of statistics of univariate extremes lies in the estimation of quantities
related to extreme events. In many areas of application, like finance, insurance and …
related to extreme events. In many areas of application, like finance, insurance and …
A new partially reduced-bias mean-of-order p class of extreme value index estimators
A class of partially reduced-bias estimators of a positive extreme value index (EVI), related to
a mean-of-order-p class of EVI-estimators, is introduced and studied both asymptotically and …
a mean-of-order-p class of EVI-estimators, is introduced and studied both asymptotically and …
Resampling methodologies and reliable tail estimation
MI Gomes, MJ Martins, M Neves… - South African Statistical …, 2015 - journals.co.za
Resampling methodologies, like the generalised jackknife and the bootstrap are important
tools for a reliable semi-parametric estimation of parameters of extreme or even rare events …
tools for a reliable semi-parametric estimation of parameters of extreme or even rare events …
[PDF][PDF] The 'Portuguese School of Extremes and Applications'(PORTSEA)
MI Gomes - Notas e Comunicaçoes CEAUL, 2021 - ceaul.org
The 'School of Extremes' in Portugal is nowadays well recognized by the international
scientific community. This recognition is mainly due to the scientific work of Tiago de Oliveira …
scientific community. This recognition is mainly due to the scientific work of Tiago de Oliveira …
Minimum‐variance reduced‐bias estimation of the extreme value index: A theoretical and empirical study
F Caeiro, L Henriques‐Rodrigues… - Computational and …, 2020 - Wiley Online Library
In extreme value (EV) analysis, the EV index (EVI), ξ, is the primary parameter of extreme
events. In this work, we consider ξ positive, that is, we assume that F is heavy tailed …
events. In this work, we consider ξ positive, that is, we assume that F is heavy tailed …