Port-Estimation of a Shape Second-Order Parameter

Authors

  • Lígia Henriques-Rodrigues University of Lisbon
  • M. Ivette Gomes University of Lisbon
  • M. Isabel Fraga Alves University of Lisbon
  • Cláudia Neves University of Aveiro

DOI:

https://doi.org/10.57805/revstat.v12i3.155

Keywords:

asymptotic properties, location/scale invariant estimation, Monte-Carlo simulation, PORT methodology, sample of excesses, semi-parametric estimation, shape secondorder parameters, statistics of extremes, third-order framework

Abstract

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.

Published

2014-12-23

How to Cite

Henriques-Rodrigues , L., Gomes , M. I., Fraga Alves , M. I., & Neves , C. (2014). Port-Estimation of a Shape Second-Order Parameter. REVSTAT-Statistical Journal, 12(3), 299–328. https://doi.org/10.57805/revstat.v12i3.155

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