DOAJ Open Access 2014

Port-Estimation of a Shape Second-Order Parameter

Lígia Henriques-Rodrigues M. Ivette Gomes M. Isabel Fraga Alves Cláudia Neves

Abstrak

In this paper we study, under a semi-parametric framework and for heavy right tails, a class of location invariant estimators of a shape second-order parameter, ruling the rate of convergence of the normalised sequence of maximum values to a non-degenerate limit. This class is based on the PORT methodology, with PORT standing for peaks over random thresholds. Asymptotic normality of such estimators is achieved under a third-order condition on the right-tail of the underlying model F and for suitable large intermediate ranks. An illustration of the finite sample behaviour of the estimators is provided through a small-scale Monte-Carlo simulation study.

Topik & Kata Kunci

Statistics Probabilities. Mathematical statistics

Penulis (4)

Lígia Henriques-Rodrigues

M. Ivette Gomes

M. Isabel Fraga Alves

Cláudia Neves

Format Sitasi

APA MLA BibTeX

Henriques-Rodrigues, L., Gomes, M.I., Alves, M.I.F., Neves, C. (2014). Port-Estimation of a Shape Second-Order Parameter. https://doi.org/10.57805/revstat.v12i3.155

Akses Cepat

PDF tidak tersedia langsung

Cek di sumber asli →

Lihat di Sumber doi.org/10.57805/revstat.v12i3.155

Informasi Jurnal

Tahun Terbit: 2014
Sumber Database: DOAJ
DOI: 10.57805/revstat.v12i3.155
Akses: Open Access ✓