Please use this identifier to cite or link to this item: https://hdl.handle.net/10216/88191
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dc.creatorMargarida Brito
dc.creatorLaura Cavalcante
dc.creatorAna Cristina Moreira Freitas
dc.date.accessioned2019-08-06T23:08:05Z-
dc.date.available2019-08-06T23:08:05Z-
dc.date.issued2016
dc.identifier.issn1751-8113
dc.identifier.othersigarra:168590
dc.identifier.urihttps://hdl.handle.net/10216/88191-
dc.description.abstractThe estimation of the tail index is a central topic in extreme value analysis. We consider a geometric-type estimator for the tail index and study its asymptotic properties. We propose here two asymptotic equivalent bias-corrected geometric-type estimators and establish the corresponding asymptotic behaviour. We also apply the suggested estimators to construct asymptotic confidence intervals for this tail parameter. Some simulations in order to illustrate the finite sample behaviour of the proposed estimators are provided.
dc.language.isoeng
dc.rightsopenAccess
dc.titleBias-corrected geometric-type estimators of the tail index
dc.typeArtigo em Revista Científica Internacional
dc.contributor.uportoFaculdade de Economia
dc.contributor.uportoFaculdade de Engenharia
dc.identifier.doi10.1088/1751-8113/49/21/214003
dc.identifier.authenticusP-00K-FGG
Appears in Collections:FEP - Artigo em Revista Científica Internacional
FEUP - Artigo em Revista Científica Internacional

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