| Title | A class of semi-parametric probability weighted moment estimators |
| Publication Type | Unpublished |
| Year of Publication | 2011 |
| Authors | Caeiro F, Gomes IM |
| Series Title | Preprint |
| Abstract | In this paper we deal with the semi-parametric estimation of the right tail 1-F. Through the use of probability weighted moments based on the largest observations, we study a class of estimators for the extreme value index γ, the scale parameter C and the Value-at-Risk at a level p, the size of the loss occurred with a small probability p. |
| URL | http://www.dm.fct.unl.pt/sites/www.dm.fct.unl.pt/files/preprints/2011/16_11.pdf |