A Class of Semi-parametric Probability Weighted Moment Estimators

Chapter
Part of the Studies in Theoretical and Applied Statistics book series (STAS)

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.

Keywords

Root Mean Square Error Mean Square Error High Quantile Large Observation Hill Estimator 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Notes

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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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  1. 1.CMA and Faculdade de Ciências e Tecnologia da UNLCaparicaPortugal
  2. 2.CEAUL and FCULLisboaPortugal

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