A semi-parametric estimator of a "scale" second order parameter based upon the log-excesses

Proceedings of the International Conference on Information Technology Interfaces, ITI

Volumn , Issue , 2008, Pages 329-334

  Gomes, M Ivette ^a   Rodrigues, Lígia Henriques ^b   Pereira, Hugo ^c   Pestana, Dinis ^a  

^a UNIVERSITY OF LISBON   (Portugal)

^b INSTITUTO POLITÉCNICO DE TOMAR   (Portugal)

^c CEA UL

Author keywords

Heavy tails; Log excesses; Maximum likelihood; Semi parametric estimation; Simulation; Statistics of extremes

Indexed keywords

MAXIMUM LIKELIHOOD; MAXIMUM LIKELIHOOD ESTIMATION; SAMPLING;

HEAVY-TAILS; LOG-EXCESSES; SEMI PARAMETRIC ESTIMATION; SIMULATION; STATISTICS OF EXTREMES;

PARAMETER ESTIMATION;

EID: 51949111820     PISSN: 13301012     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ITI.2008.4588431     Document Type: Conference Paper

References (8)

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6. de Haan, L. and Ferreira, A. Extreme Value Theory: An Introduction. Springer; 2006.
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8. Hill, B. A simple general approach to inference about the tail of a distribution. Ann. Statist. 1975; Vol. 3, No. 5: 1163-1174.