A1313
Title: Estimation of the extreme value index with probability weighted moments
Authors: Frederico Caeiro - NOVA.ID.FCT - Universidade Nova de Lisboa (Portugal) [presenting]
Ivette Gomes - FCiencias.ID, Universidade de Lisboa and CEAUL (Portugal)
Abstract: In statistics of extremes, the estimation of the extreme value index (EVI) is an important and central topic of research. The probability-weighted moment estimator of the EVI is considered based on the largest observations of a Pareto-type model. Due to the specificity of the properties of the estimator, a direct estimation of the threshold is not straightforward. An adaptive choice of the number of order statistics to be used in the estimation is considered. The introduced methodology is also applied to a real data set.
