Weak Properties and Robustness of t-Hill Estimators

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F16%3A00460584" target="_blank" >RIV/67985807:_____/16:00460584 - isvavai.cz</a>

Alternative codes found

RIV/62156489:43110/16:43909772

Result on the web

<a href="http://dx.doi.org/10.1007/s10687-016-0256-2" target="_blank" >http://dx.doi.org/10.1007/s10687-016-0256-2</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s10687-016-0256-2" target="_blank" >10.1007/s10687-016-0256-2</a>

Result language

angličtina

Original language name

Weak Properties and Robustness of t-Hill Estimators

Original language description

e describe a novel method of heavy tails estimation based on transformed score (t-score). Based on a new score moment method we derive the t-Hill estimator, which estimates the extreme value index of a distribution function with regularly varying tail. t-Hill estimator is distribution sensitive, thus it differs in e.g. Pareto and log-gamma case. Here, we study both forms of the estimator, i.e. t-Hill and t-lgHill. For both estimators we prove weak consistency in moving average settings as well as the asymptotic normality of t-lgHill estimator in iid setting. In cases of contamination with heavier tails than the tail of original sample, t-Hill outperforms several robust tail estimators, especially in small samples. A simulation study emphasizes the fact that the level of contamination is playing a crucial role. The larger the contamination, the better are the t-score moment estimates. The reason for this is the bounded t-score of heavy-tailed distributions (and, consequently, bounded influence functions of the estimators). We illustrate the developed methodology on a small sample data set of stake measurements from Guanaco glacier in Chile.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Extremes

ISSN

1386-1999

e-ISSN

—

Volume of the periodical

19

Issue of the periodical within the volume

4

Country of publishing house

US - UNITED STATES

Number of pages

36

Pages from-to

591-626

UT code for WoS article

000386530500002

EID of the result in the Scopus database

2-s2.0-84976293899