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Articles

A location-invariant probability weighted moment estimation of the Extreme Value Index

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Pages 676-695 | Received 13 Oct 2013, Accepted 26 Sep 2014, Published online: 06 Nov 2014
 

Abstract

The peaks over random threshold (PORT) methodology and the Pareto probability weighted moments (PPWM) of the largest observations are used to build a class of location-invariant estimators of the Extreme Value Index (EVI), the primary parameter in statistics of extremes. The asymptotic behaviour of such a class of EVI-estimators, the so-called PORT-PPWM EVI-estimators, is derived, and an alternative class of location-invariant EVI-estimators, the generalized Pareto probability weighted moments (GPPWM) EVI-estimators is considered as an alternative. These two classes of estimators, the PORT-PPWM and the GPPWM, jointly with the classical Hill EVI-estimator and a recent class of minimum-variance reduced-bias estimators are compared for finite samples, through a large-scale Monte-Carlo simulation study. An adaptive choice of the tuning parameters under play is put forward and applied to simulated and real data sets.

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Acknowledgements

Research partially supported by National Funds through FCT – Fundação para a Ciência e a Tecnologia, projects PEst-OE/MAT/UI0006/2014 (CEAUL), PEst-OE/MAT/UI0297/2014 (CMA/UNL), EXTREMA project, PTDC/FEDER and grant SFRH/BPD/77319/2011.

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