Frederico Caeiro EVA Talk Preview
From Anna Munro on May 25th, 2021
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Name: Frederico Caeiro
Talk Title: A comparison of generalized and extended Hill estimators
Abstract: Co-authors: Ivanilda Cabral & M. Ivette Gomes. For heavy tails, classical extreme value index estimators, such as the Hill estimator (Hill, 1975), have usually a strong bias. Consequently, new interesting alternative estimators have appeared in the literature. In this work we compare several generalized and extended Hill estimators of the extreme value index. The comparison is performed not only with the Hill, but also with an asymptotically unbiased Hill estimator. The comparison study is performed asymptotically, under a third-order framework, and for finite samples, through a Monte Carlo simulation study.
This talk is a contributed talk at EVA 2021. View the programme here.