A general estimator for the right endpoint - with an application to supercentenarian women's records
| Autor: | Alves, Isabel Fraga, Neves, Cláudia, Rosário, Pedro |
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| Rok vydání: | 2014 |
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| Druh dokumentu: | Working Paper |
| DOI: | 10.1007/s10687-016-0260-6 |
| Popis: | We extend the setting of the right endpoint estimator introduced in Fraga Alves and Neves (Statist. Sinica 24:1811--1835, 2014) to the broader class of light-tailed distributions with finite endpoint, belonging to some domain of attraction induced by the extreme value theorem. This stretch enables a general estimator for the finite endpoint, which does not require estimation of the (supposedly non-positive) extreme value index. A new testing procedure for selecting max-domains of attraction also arises in connection with asymptotic properties of the general endpoint estimator. The simulation study conveys that the general endpoint estimator is a valuable complement to the most usual endpoint estimators, particularly when the true extreme value index stays above $-1/2$, embracing the most common cases in practical applications. An illustration is provided via an extreme value analysis of supercentenarian women data. Comment: Another version published in Extremes Journal |
| Databáze: | arXiv |
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