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Bias correction in extreme value statistics with index around zero

Extremes volume 16, pages 173–201 (2013)Cite this article

Abstract

Applying extreme value statistics in meteorology and environmental science requires accurate estimators on extreme value indices that can be around zero. Without having prior knowledge on the sign of the extreme value indices, the probability weighted moment (PWM) estimator is a favorable candidate. As most other estimators on the extreme value index, the PWM estimator bears an asymptotic bias. In this paper, we develop a bias correction procedure for the PWM estimator. Moreover, we provide bias-corrected PWM estimators for high quantiles and, when the extreme value index is negative, the endpoint of a distribution. The choice of k, the number of high order statistics used for estimation, is crucial in applications. The asymptotically unbiased PWM estimators allows the choice of higher level k, which results in a lower asymptotic variance. Moreover, since the bias-corrected PWM estimators can be applied for a wider range of k compared to the original PWM estimator, one gets more flexibility in choosing k for finite sample applications. All advantages become apparent in simulations and an environmental application on estimating “once per 10,000 years” still water level at Hoek van Holland, The Netherlands.

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Authors and Affiliations

  1. Department of Econometrics & OR, Tilburg University, P.O. Box 90153, 5000 LE, Tilburg, The Netherlands

    Juan-Juan Cai

  2. University of Lisbon, Lisbon, Portugal

    Laurens de Haan

  3. Department of Economics, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR, Rotterdam, The Netherlands

    Laurens de Haan & Chen Zhou

  4. Economic and Research Division, De Nederlandsche Bank, P.O. Box 98, 1000 AB, Amsterdam, The Netherlands

    Chen Zhou

Authors
  1. Juan-Juan Cai
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  2. Laurens de Haan
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  3. Chen Zhou
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Corresponding author

Correspondence to Juan-Juan Cai.

Additional information

Research of J.-J. Cai and L. de Haan are partially supported by ENES-Project PTDC/MAT/112770/2009.

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Cai, JJ., de Haan, L. & Zhou, C. Bias correction in extreme value statistics with index around zero. Extremes 16, 173–201 (2013). https://doi.org/10.1007/s10687-012-0158-x

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  • DOI: https://doi.org/10.1007/s10687-012-0158-x

Keywords

  • The probability weighted moment estimator
  • Extreme value index
  • Bias correction
  • High quantile estimation
  • Endpoint estimation

AMS 2000 Subject Classification

  • 62G32