Publicação
Peaks over random threshold methodology for tail index and high quantile estimation
| dc.contributor.author | Santos, Paulo Araújo | |
| dc.contributor.author | Alves, M. Isabel Fraga | |
| dc.contributor.author | Gomes, M. Ivette | |
| dc.date.accessioned | 2010-07-09T13:34:33Z | |
| dc.date.available | 2010-07-09T13:34:33Z | |
| dc.date.issued | 2006-11 | |
| dc.description.abstract | In this paper we present a class of semi-parametric high quantile estimators which enjoy a desirable property in the presence of linear transformations of the data. Such a feature is in accordance with the empirical counterpart of the theoretical linearity of a quantile χp: χp(δX + λ) = δχp(X) + λ, for any real λ and positive δ. This class of estimators is based on the sample of excesses over a random threshold, originating what we denominate PORT (Peaks Over Random Threshold) methodology. We prove consistency and asymptotic normality of two high quantile estimators in this class, associated with the PORT-estimators for the tail index. The exact performance of the new tail index and quantile PORT-estimators is compared with the original semiparametric estimators, through a simulation study. | pt |
| dc.identifier.citation | SANTOS, Paulo Araújo ; ALVES, M. Isabel Fraga ; GOMES, M. Ivette - Peaks over random threshold methodology for tail index and high quantile estimation. Revstat. ISSN 1645-6726. Vol. 4, no. 3 (Nov. 2006), p. 227-247 | pt |
| dc.identifier.issn | 1645-6726 | |
| dc.identifier.uri | http://hdl.handle.net/10400.15/123 | |
| dc.language.iso | eng | pt |
| dc.publisher | Instituto Nacional de Estatística | pt |
| dc.relation.publisherversion | http://www.ine.pt/revstat/pdf/rs060303.pdf | pt |
| dc.subject | Heavy tails | pt |
| dc.subject | High quantiles | pt |
| dc.subject | Semi-parametric estimation | pt |
| dc.subject | Linear property | pt |
| dc.subject | Sample of excesses | pt |
| dc.title | Peaks over random threshold methodology for tail index and high quantile estimation | pt |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 247 | pt |
| oaire.citation.startPage | 227 | pt |
| oaire.citation.title | Revstat | pt |
| rcaap.rights | openAccess | pt |
| rcaap.type | article | pt |