Reduced‐bias kernel estimators of a positive extreme value index

• Published in: Mathematical methods in the applied sciences Vol. 42; no. 17; pp. 5867 - 5880
• Main Authors: Caeiro, Frederico, Henriques‐Rodrigues, Lígia
• Format: Journal Article
• Language: English
• Published: Freiburg Wiley Subscription Services, Inc 30.11.2019
• Subjects: asymptotic behaviour; Asymptotic properties; Bias; bias estimation; Estimators; Extreme values; heavy tails; Kernels; Normality; optimal levels; Parameter estimation; Parameter modification; semi‐parametric estimation; statistics of extremes; Value analysis

In this paper, we deal with the semi‐parametric estimation of the extreme value index, an important parameter in extreme value analysis. It is well known that many classic estimators, such as the Hill estimator, reveal a strong bias. This problem motivated the study of two classes of kernel estimato...