A New Class of Reduced-Bias Generalized Hill Estimators.
| Title: | A New Class of Reduced-Bias Generalized Hill Estimators. |
|---|---|
| Authors: | Henriques-Rodrigues, Lígia1 (AUTHOR) ligiahr@uevora.pt, Caeiro, Frederico2 (AUTHOR) fac@fct.unl.pt, Gomes, M. Ivette3 (AUTHOR) migomes@ciencias.ulisboa.pt |
| Source: | Mathematics (2227-7390). Sep2024, Vol. 12 Issue 18, p2866. 18p. |
| Subject Terms: | *MONTE Carlo method, *EXTREME value theory, *ESTIMATION bias, *VALUATION of real property, *RISK assessment |
| Abstract: | The estimation of the extreme value index (EVI) is a crucial task in the field of statistics of extremes, as it provides valuable insights into the tail behavior of a distribution. For models with a Pareto-type tail, the Hill estimator is a popular choice. However, this estimator is susceptible to bias, which can lead to inaccurate estimations of the EVI, impacting the reliability of risk assessments and decision-making processes. This paper introduces a novel reduced-bias generalized Hill estimator, which aims to enhance the accuracy of EVI estimation by mitigating the bias. [ABSTRACT FROM AUTHOR] |
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| Items | – Name: Title Label: Title Group: Ti Data: A New Class of Reduced-Bias Generalized Hill Estimators. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Henriques-Rodrigues%2C+Lígia%22">Henriques-Rodrigues, Lígia</searchLink><relatesTo>1</relatesTo> (AUTHOR)<i> ligiahr@uevora.pt</i><br /><searchLink fieldCode="AR" term="%22Caeiro%2C+Frederico%22">Caeiro, Frederico</searchLink><relatesTo>2</relatesTo> (AUTHOR)<i> fac@fct.unl.pt</i><br /><searchLink fieldCode="AR" term="%22Gomes%2C+M%2E+Ivette%22">Gomes, M. Ivette</searchLink><relatesTo>3</relatesTo> (AUTHOR)<i> migomes@ciencias.ulisboa.pt</i> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22Mathematics+%282227-7390%29%22">Mathematics (2227-7390)</searchLink>. Sep2024, Vol. 12 Issue 18, p2866. 18p. – Name: Subject Label: Subject Terms Group: Su Data: *<searchLink fieldCode="DE" term="%22MONTE+Carlo+method%22">MONTE Carlo method</searchLink><br />*<searchLink fieldCode="DE" term="%22EXTREME+value+theory%22">EXTREME value theory</searchLink><br />*<searchLink fieldCode="DE" term="%22ESTIMATION+bias%22">ESTIMATION bias</searchLink><br />*<searchLink fieldCode="DE" term="%22VALUATION+of+real+property%22">VALUATION of real property</searchLink><br />*<searchLink fieldCode="DE" term="%22RISK+assessment%22">RISK assessment</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: The estimation of the extreme value index (EVI) is a crucial task in the field of statistics of extremes, as it provides valuable insights into the tail behavior of a distribution. For models with a Pareto-type tail, the Hill estimator is a popular choice. However, this estimator is susceptible to bias, which can lead to inaccurate estimations of the EVI, impacting the reliability of risk assessments and decision-making processes. This paper introduces a novel reduced-bias generalized Hill estimator, which aims to enhance the accuracy of EVI estimation by mitigating the bias. [ABSTRACT FROM AUTHOR] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of Mathematics (2227-7390) is the property of MDPI and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
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| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.3390/math12182866 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 18 StartPage: 2866 Subjects: – SubjectFull: MONTE Carlo method Type: general – SubjectFull: EXTREME value theory Type: general – SubjectFull: ESTIMATION bias Type: general – SubjectFull: VALUATION of real property Type: general – SubjectFull: RISK assessment Type: general Titles: – TitleFull: A New Class of Reduced-Bias Generalized Hill Estimators. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Henriques-Rodrigues, Lígia – PersonEntity: Name: NameFull: Caeiro, Frederico – PersonEntity: Name: NameFull: Gomes, M. Ivette IsPartOfRelationships: – BibEntity: Dates: – D: 15 M: 09 Text: Sep2024 Type: published Y: 2024 Identifiers: – Type: issn-print Value: 22277390 Numbering: – Type: volume Value: 12 – Type: issue Value: 18 Titles: – TitleFull: Mathematics (2227-7390) Type: main |
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