Topic: Contributions in extreme values theory and applications Title: Application of the PORT methodology to recent extreme value index estimators Authors:  Ligia Henriques-Rodrigues - University of Sao Paulo (Brazil)
Ivette Gomes - FCiencias.ID, Universidade de Lisboa and CEAUL (Portugal) [presenting]
Abstract: Given a sample of size $n$ of either independent, identically distributed or possibly stationary weakly dependent random variables from a cumulative distribution function (CDF) $F$, let us assume that $F$ is in the domain of attraction for maxima of an extreme value (EV) CDF with a positive extreme value index (EVI). For this type of Pareto right-tailed parents, the mean-of-order-$p$ (MOP) EVI-estimator has revealed to be highly flexible, but just like the Hill EVI-estimator, is not location-invariant, a property valid for the EVI itself. The application of the PORT methodology based on the excesses over a $q$-quantile, and adequate algorithms for the choice of the tuning parameters under play, enable a reliable estimation of parameters of rare events and a location-invariant EVI-estimation.