Zobrazeno 1 - 10
of 76
pro vyhledávání: '"Frederico, Caeiro"'
Publikováno v:
Mathematics, Vol 12, Iss 18, p 2866 (2024)
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 c
Externí odkaz:
https://doaj.org/article/4be1acb7fbe34093a1fe6f12a4a862eb
Autor:
Frederico Caeiro, Mina Norouzirad
Publikováno v:
Econometrics, Vol 12, Iss 3, p 20 (2024)
Non-negative distributions are important tools in various fields. Given the importance of achieving a good fit, the literature offers hundreds of different models, from the very simple to the highly flexible. In this paper, we consider the power–Pa
Externí odkaz:
https://doaj.org/article/aa7437121d8e4e9f81cc4c2d103b5a0b
Autor:
Frederico Caeiro, Ayana Mateus
Publikováno v:
Mathematics, Vol 11, Iss 5, p 1076 (2023)
Estimation based on probability-weighted moments is a well-established method and an excellent alternative to the classic method of moments or the maximum likelihood method, especially for small sample sizes. In this research, we developed a new clas
Externí odkaz:
https://doaj.org/article/428c7229cc2a47098c4f05f02ec60791
Publikováno v:
Revstat Statistical Journal, Vol 18, Iss 3 (2020)
Lehmer’s mean-of-order p (Lp) generalizes the arithmetic mean, and Lp extreme value index (EVI)-estimators can be easily built, as a generalization of the classical Hill EVI-estimators. Apart from a reference to the asymptotic behaviour of this cla
Externí odkaz:
https://doaj.org/article/3026a6adadec4ee4802f2bb1f0702460
Autor:
Frederico Caeiro, Ayana Mateus
Publikováno v:
Computational and Mathematical Methods. 2022:1-13
This work is funded by national funds through the FCT-Fundacao para a Ciencia e a Tecnologia, I.P., under the scope of the projects UIDB/00297/2020 and UIDP/00297/2020 (Center for Mathematics and Applications). The log-logistic distribution is widely
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01864b97cded14ebed7eaad251b7113b
https://doi.org/10.1155/2022/8400130
https://doi.org/10.1155/2022/8400130
Due to the specificity of the Weibull tail coefficient, most of the estimators available in the literature are based on the log excesses and are consequently quite similar to the estimators used for the estimation of a positive extreme value index. T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::33579e6d3bc052f647b63fea96be0c89
https://hdl.handle.net/10362/151474
https://hdl.handle.net/10362/151474
Publikováno v:
J Appl Stat
The main objective of extreme value theory is essentially the estimation of quantities related to extreme events. One of its main issues has been the estimation of the extreme value index (EVI), a parameter directly related to the tail weight of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=pmid________::f1f5f43655e96d306602c2de320475c0
https://pubmed.ncbi.nlm.nih.gov/35707413
https://pubmed.ncbi.nlm.nih.gov/35707413
Autor:
Frederico Caeiro, Ayana Mateus
Publikováno v:
Journal of Computational and Applied Mathematics. :115347
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::afb4ed7c4f3dc3f63ab6545857088967
https://doi.org/10.1016/j.cam.2023.115347
https://doi.org/10.1016/j.cam.2023.115347
Publikováno v:
Communications in Statistics - Theory and Methods. 51:179-196
Due to the fact that for heavy tails the classical Hill estimator of a positive extreme value index is asymptotically biased, new and interesting alternative estimators have appeared in the literat...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5169363610a21c67c06bcb341b798ff6
https://doi.org/10.1080/03610926.2020.1746970
https://doi.org/10.1080/03610926.2020.1746970
Autor:
Dinis Pestana, Lígia Henriques-Rodrigues, M. Ivette Gomes, Fernanda Figueiredo, Frederico Caeiro
Publikováno v:
Journal of Statistical Computation and Simulation. 90:1735-1752
On the basis of a sample of either independent, identically distributed or possibly weakly dependent and stationary random variables from an unknown model F with a heavy right-tail function, and fo...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee18527c80b3f96cadfec13bfc7ab2c9
https://doi.org/10.1080/00949655.2020.1746787
https://doi.org/10.1080/00949655.2020.1746787