Zobrazeno 1 - 10
of 11
pro vyhledávání: '"M. Isabel Fraga Alves"'
Publikováno v:
Revstat Statistical Journal, Vol 12, Iss 3 (2014)
In this paper we study, under a semi-parametric framework and for heavy right tails, a class of location invariant estimators of a shape second-order parameter, ruling the rate of convergence of the normalised sequence of maximum values to a non-dege
Externí odkaz:
https://doaj.org/article/011853796d614409832aecdb22385ee8
Autor:
Cláudia Neves, M. Isabel Fraga Alves
Publikováno v:
Revstat Statistical Journal, Vol 6, Iss 1 (2008)
The aim of this paper is to give a brief overview about several tests published in the context of statistical choice of extreme value domains and for assessing extreme value conditions. Some of the most recent testing procedures encompassed in this f
Externí odkaz:
https://doaj.org/article/25378dfcd9034a04b148d52e9e4096a9
A Note on Second Order Conditions in Extreme Value Theory: Linking General and Heavy Tail Conditions
Publikováno v:
Revstat Statistical Journal, Vol 5, Iss 3 (2007)
Second order conditions ruling the rate of convergence in any first order condition involving regular variation and assuring a unified extreme value limiting distribution function for the sequence of maximum values, linearly normalized, have appeared
Externí odkaz:
https://doaj.org/article/a6a83f59b5fa4287b3d340a48dbc3a9b
Publikováno v:
Revstat Statistical Journal, Vol 4, Iss 3 (2006)
In this paper we present a class of semi-parametric high quantile estimators which enjoy a desirable property in the presence of linear transformations of the data. Such a feature is in accordance with the empirical counterpart of the theoretical lin
Externí odkaz:
https://doaj.org/article/9705a3c9c935483a979fbe9df8a758cb
Publikováno v:
Revstat Statistical Journal, Vol 4, Iss 2 (2006)
In this paper, and in a context of regularly varying tails, we suggest new tail index estimators, which provide interesting alternatives to the classical Hill estimator of the tail index γ. They incorporate some extra knowledge on the pattern of sca
Externí odkaz:
https://doaj.org/article/989f9963210c42a78bc2271a25e8108f
Publikováno v:
Journal of Statistical Computation and Simulation. 83:1129-1144
In this article, we deal with an empirical comparison of two data-driven heuristic procedures of estimation of a positive extreme value index (EVI), working thus with heavy right tails. The semi-parametric EVI-estimators under consideration, the so-c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::becf55d1739fa592b8065dcf7ae9cab4
https://doi.org/10.1080/00949655.2011.652113
https://doi.org/10.1080/00949655.2011.652113
Publikováno v:
Extremes. 12:149-185
A new class of estimators of the extreme value index is developed. It has a simple form and is asymptotically very close to the maximum likelihood estimator for a wide class of heavy-tailed models. We also propose an alternative class of estimators,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cf4105874e0ec3c9c1c7bc33d04dbf5f
https://doi.org/10.1007/s10687-008-0073-3
https://doi.org/10.1007/s10687-008-0073-3
Publikováno v:
Extremes. 11:3-34
In the last decades there has been a shift from the parametric statistics of extremes for IID random variables, based on the probabilistic asymptotic results in extreme value theory, towards a semi-parametric approach, where the estimation of the rig
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3e472c288afc870238221256e4cc5263
https://doi.org/10.1007/s10687-007-0048-9
https://doi.org/10.1007/s10687-007-0048-9
Publikováno v:
Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
In this article, we use the peaks over random threshold (PORT)-methodology, and consider Hill and moment PORT-classes of extreme value index estimators. These classes of estimators are invariant not only to changes in scale, like the classical Hill a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b865f93f6f9f34bfd417dc75cd433f9b
Publikováno v:
International Journal of Mathematical Modelling and Numerical Optimisation. 2:342
Extrusion of aluminium is an efficient manufacturing process which allows long continuous production. The heated billet (aluminium material) is squeezed through the opening of a metal die in order to shape the desired aluminium profile. A long contin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1531920d4b15d93cddba6bd97cde3443
https://doi.org/10.1504/ijmmno.2011.040796
https://doi.org/10.1504/ijmmno.2011.040796