Port-Estimation of a Shape Second-Order Parameter
DOI:
https://doi.org/10.57805/revstat.v12i3.155Keywords:
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 frameworkAbstract
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.
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Copyright (c) 2014 REVSTAT-Statistical Journal
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