Abstract
In this paper we deal with the semi-parametric estimation of the right tail 1 − F. Through the use of probability weighted moments based on the largest observations, we study a class of estimators for the extreme value index γ, the scale parameter C, and the Value-at-Risk at a level p.
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Acknowledgements
This research was partially supported by FCT – Fundação para a Ciência e a Tecnologia, projects PEst-OE/MAT/UI0006/2011 (CEAUL), PEst-OE/MAT/UI0297/2011 (CMA/UNL) and PTDC/FEDER.
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Caeiro, F., Gomes, M.I. (2013). A Class of Semi-parametric Probability Weighted Moment Estimators. In: Oliveira, P., da Graça Temido, M., Henriques, C., Vichi, M. (eds) Recent Developments in Modeling and Applications in Statistics. Studies in Theoretical and Applied Statistics(). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-32419-2_15
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DOI: https://doi.org/10.1007/978-3-642-32419-2_15
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