Estimation of a Scale Second-Order Parameter Related to the PORT Methodology

For heavy right tails and under a semiparametric framework, we introduce a class of location-invariant estimators of a scale second-order parameter and study its asymptotic nondegenerate behavior. This class is based on the PORT methodology, with PORT standing for peaks over random thresholds. The c...

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Bibliographic Details
Published inJournal of statistical theory and practice Vol. 9; no. 3; pp. 571 - 599
Main Authors Henriques-Rodrigues, Lígia, Gomes, M. Ivette, Manjunath, B. G.
Format Journal Article
LanguageEnglish
Published Cham Taylor & Francis 03.07.2015
Springer International Publishing
Subjects
Location/scale invariant estimation
Mathematics and Statistics
PORT methodology
Primary 62G32, 62E20
Probability Theory and Stochastic Processes
Scale second-order parameters
Secondary 65C05
Semiparametric estimation
Statistical Theory and Methods
Statistics
Statistics of extremes
Location/scale invariant estimation
PORT methodology
Secondary 65C05
Statistics of extremes
Semiparametric estimation
Scale second-order parameters
Primary 62G32, 62E20
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Summary:For heavy right tails and under a semiparametric framework, we introduce a class of location-invariant estimators of a scale second-order parameter and study its asymptotic nondegenerate behavior. This class is based on the PORT methodology, with PORT standing for peaks over random thresholds. The consistency and asymptotic normality of the new class of estimators is achieved under a third-order condition on the right tail of the underlying model F for intermediate and large ranks, respectively. An illustration of the finite sample behavior of the estimators is provided through a Monte Carlo simulation study.
ISSN:1559-8608
1559-8616
DOI:10.1080/15598608.2014.969816