IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/6381.html
   My bibliography  Save this paper

A Simulation Study on the Performance of Extreme-Value Index Estimators and Proposed Robustifying Modifications

Author

Listed:
  • Tsourti, Zoi
  • Panaretos, John

Abstract

The key issue of extreme-value theory is the estimation of a parameter γ, known as extreme value index. In this paper we review several extreme-value index estimators, ranging from the oldest ones to the most recent developments. Moreover, a smoothing procedure of these estimators are presented. A simulation study is conducted in order to compare the behaviour of the estimators and their smoothed alternatives. Maybe the most prominent results of this study is that no uniformly best estimator exists and that the behaviour of estimators depends on the value of the parameter γ itself.

Suggested Citation

  • Tsourti, Zoi & Panaretos, John, 2001. "A Simulation Study on the Performance of Extreme-Value Index Estimators and Proposed Robustifying Modifications," MPRA Paper 6381, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:6381
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/6381/1/MPRA_paper_6381.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Extreme value index; Semi-parametric estimation; Smoothing modification;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:6381. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.