DocumentCode
177378
Title
A Heuristic Procedure to Estimate the Tail Index
Author
Ferreira, Michel
Author_Institution
Dept. of Math. & Applic, Minho Univ., Braga, Portugal
fYear
2014
fDate
June 30 2014-July 3 2014
Firstpage
241
Lastpage
244
Abstract
The estimation of the tail index is a very important issue within extreme value theory. Semi-parametric estimators usually require the choice of the number k of upper order statistics to use in the estimation, which is a difficult problem to handle. Here it is applied a heuristic graphical method to well-known semi-parametric tail index estimators and analyze it through simulation. It will be seen that some criteria lead to good results.
Keywords
estimation theory; statistics; extreme value theory; heuristic graphical method; heuristic procedure; semiparametric estimators; tail index; upper order statistics; Adaptation models; Analytical models; Bandwidth; Educational institutions; Estimation; Indexes;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Science and Its Applications (ICCSA), 2014 14th International Conference on
Conference_Location
Guimaraes
Type
conf
DOI
10.1109/ICCSA.2014.55
Filename
6976697
Link To Document