A0925
Title: Comparative study on excess distribution estimators in iid settings
Authors: Taku Moriyama - Yokohama City University (Japan) [presenting]
Abstract: The focus is on the excess distribution estimators in iid settings. There are two ways to estimate: the fit to the generalized Pareto distribution and the fully nonparametric estimation. The fitting estimator is justified by the approximation proven in the extreme value theory; however, the accuracy depends on how extremely large the target is. The nonparametric estimator does not need the approximation and has the advantage of wide applicability. Both theoretical and numerical comparative studies are conducted on excess distribution estimation. Asymptotic convergence rates of two estimators are obtained, and the mean integrated squared errors are numerically surveyed by simulation study. Further details are presented.
