Bootstrap and Moment Estimator of the Tail Index γ

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23420%2F20%3A43960015" target="_blank" >RIV/49777513:23420/20:43960015 - isvavai.cz</a>
Result on the web
<a href="http://hdl.handle.net/11025/42939" target="_blank" >http://hdl.handle.net/11025/42939</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Bootstrap and Moment Estimator of the Tail Index γ
Original language description
One of the major interests in extreme-value statistics is to infer the tail properties of the distribution functions in the domains of attraction of an extreme-value distribution and predict rare events. There is the primary problem to find the estimation of the tail index usually performed on the basis of the largest k order statistics in the sample. The question that has been often solved in applications of extreme value theory is the choice of k or an estimation of . We shall be here mainly interested in the use of the bootstrap methodology to estimate Extreme Value Index (EVI) . We study and compute general case of this tail index . We shall also compare, through Monte Carlo simulation, these bootstrap methodologies with other data - driven choices of the optimal sample fraction.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Aplimat 2020 proceedings : 19th conference on applied mathematics
ISBN
978-80-227-4983-1
ISSN
2340-1117
e-ISSN
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Number of pages
13
Pages from-to
666-678
Publisher name
Slovak University of Technology in Bratislava
Place of publication
Bratislava
Event location
Bratislava
Event date
Feb 4, 2020
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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