Adaptive Estimation of Heavy Right Tails : the Bootstrap Methodology in Action

@inproceedings{Gomes2010AdaptiveEO,
  title={Adaptive Estimation of Heavy Right Tails : the Bootstrap Methodology in Action},
  author={M. Ivette Gomes and F Figueiredo and M. Manuela Neves},
  year={2010}
}
In this paper, we discuss an algorithm for the adaptive estimation of a positive extreme value index, γ, the primary parameter in Statistics of Extremes. Apart from the classical extreme value index estimators, we suggest the consideration of associated second-order corrected-bias estimators, and propose the use of bootstrap computer-intensive methods for an asymptotically consistent choice of the thresholds to use in the adaptive estimation of γ. The algorithm is described for a classical… CONTINUE READING

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