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| Título | Semi-parametric tail inference through Probability-Weighted Moments |
| Publication Type | Unpublished |
| Year of Publication | 2010 |
| Authors | Caeiro F, Gomes IM |
| Series Title | Preprint |
| Palavras-chave | Extreme value index, Heavy tails, rst order scale parameter, Semi-parametric estimation, statistics of extremes |
| Abstract | In this paper, for heavy-tailed models, and working with the sample of the k largest observa- tions, we present Probability Weighted Moments (PWM) estimators for the rst-order tail parameters. Under regular variation conditions on the right-tail of the underlying distribution function F we prove the consistency and asymptotic normality of these estimators. Their performance, for finite sample sizes, is illustrated through a small-scale Monte Carlo simulation. |
| URL | http://www.dm.fct.unl.pt/sites/www.dm.fct.unl.pt/files/preprints/2010/2_10.pdf |