Title: Asymptotic comparison of second-order parameters estimators
Authors: Ivette Gomes - FCiencias.ID, Universidade de Lisboa and CEAUL (Portugal) [presenting]
Ivanilda Cabral - Universidade de Cabo Verde (Cape Verde)
Frederico Caeiro - NOVA.ID.FCT - Universidade Nova de Lisboa (Portugal)
Abstract: Under an adequate third-order framework, and for heavy right tails, i.e., a positive extreme value index, an asymptotic comparison of alternative estimators of shape and scale second-order parameters is developed. Such an asymptotic comparison is performed for a fixed $k$, the number of upper order statistics involved in the estimation, and at optimal levels, i.e., at levels $k_0$ where the asymptotic mean square error of the estimators is minimized.