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Extreme Value Index Estimation by Means of an Inequality Curve
Mathematics ( IF 2.4 ) Pub Date : 2020-10-19 , DOI: 10.3390/math8101834
Emanuele Taufer , Flavio Santi , Pier Luigi Novi Inverardi , Giuseppe Espa , Maria Michela Dickson

A characterizing property of Zenga (1984) inequality curve is exploited in order to develop an estimator for the extreme value index of a distribution with regularly varying tail. The approach proposed here has a nice graphical interpretation which provides a powerful method for the analysis of the tail of a distribution. The properties of the proposed estimation strategy are analysed theoretically and by means of simulations. The usefulness of the method will be tested also on real data sets.

中文翻译:

用不等式曲线估算极值指数

利用Zenga(1984)不等式曲线的特征来开发具有规律变化尾部分布极值指数的估计器。这里提出的方法具有很好的图形解释,为分析分布的尾部提供了一种强大的方法。理论上并通过仿真分析了所提出的估计策略的性质。该方法的有效性还将在真实数据集上进行测试。
更新日期:2020-10-19
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