Extreme Value Index Estimation by Means of an Inequality Curve

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 19 Oct 2020 Italy English Publisher:MDPI AGJournal:Mathematics, volume 8, page 1,834 (eissn: 2227-7390,

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Authors: Taufer, Emanuele; Santi, Flavio; Inverardi, Pier Luigi Novi; Espa, Giuseppe; Dickson, Maria Michela;

doi: 10.3390/math8101834

handle: 11562/1027387 , 11572/279653 , 11577/3529529

Extreme Value Index Estimation by Means of an Inequality Curve

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Abstract

A characterizing property of Zenga (1984) inequality curve is exploited in order to develop an estimator for the extreme value index of a distribution with regularly varying tail. The approach proposed here has a nice graphical interpretation which provides a powerful method for the analysis of the tail of a distribution. The properties of the proposed estimation strategy are analysed theoretically and by means of simulations. The usefulness of the method will be tested also on real data sets.

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Italy

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Keywords

extreme value index, regularly varying tail, Bootstrap; Extreme value index; Inequality curve; Non-parametric estimation; Regularly varying tail, QA1-939, extreme value index; inequality curve; non-parametric estimation; bootstrap; regularly varying tail, inequality curve, non-parametric estimation, bootstrap, Mathematics

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