Improving the bias of a pseudo-maximum likelihood estimate of the extreme value index by k-records
Copyright policy )Improving the bias of a pseudo-maximum likelihood estimate of the extreme value index by k-records
AbstractThe paper focusses on the estimation of the extreme value index in terms ofk-records based on a maximum likelihood approach, which is suggested recently by Louzaoui and El Arrouchi (J Probab Stat, 2020). Its asymptotic normality is well investigated in order to propose a bias correction while ensuring that the new estimator becomes asymptotically unbiased and still normal. Some numerical studies are also provided in order to show how the proposed estimators behave in practice.
- Université Ibn-Tofail Morocco
Economics and Econometrics, Social Sciences, Estimator, QA273-280, FOS: Economics and business, Value (mathematics), Order statistic, Extreme value index, FOS: Mathematics, Asymptotic normality, Econometrics, Global and Planetary Change, Normality, Asymptotic distribution, Second order condition, Statistics, Extreme value theory, Maximum likelihood estimation, Applied mathematics, Computer science, World Wide Web, Economics, Econometrics and Finance, k-Record values, Modeling and Forecasting Financial Volatility, Impact of Oil Price Shocks on Economy, Global Drought Monitoring and Assessment, Environmental Science, Physical Sciences, Multivariate Analysis, Bias correction, Probabilities. Mathematical statistics, Finance, Mathematics, Index (typography), Maximum likelihood
Economics and Econometrics, Social Sciences, Estimator, QA273-280, FOS: Economics and business, Value (mathematics), Order statistic, Extreme value index, FOS: Mathematics, Asymptotic normality, Econometrics, Global and Planetary Change, Normality, Asymptotic distribution, Second order condition, Statistics, Extreme value theory, Maximum likelihood estimation, Applied mathematics, Computer science, World Wide Web, Economics, Econometrics and Finance, k-Record values, Modeling and Forecasting Financial Volatility, Impact of Oil Price Shocks on Economy, Global Drought Monitoring and Assessment, Environmental Science, Physical Sciences, Multivariate Analysis, Bias correction, Probabilities. Mathematical statistics, Finance, Mathematics, Index (typography), Maximum likelihood
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