A New Class of Reduced-Bias Generalized Hill Estimators
The estimation of the extreme value index (EVI) is a crucial task in the field of statistics of extremes, as it provides valuable insights into the tail behavior of a distribution. For models with a Pareto-type tail, the Hill estimator is a popular choice. However, this estimator is susceptible to bias, which can lead to inaccurate estimations of the EVI, impacting the reliability of risk assessments and decision-making processes. This paper introduces a novel reduced-bias generalized Hill estimator, which aims to enhance the accuracy of EVI estimation by mitigating the bias.
Authors
- M. Ivette Gomes (ORCID: https://orcid.org/0000-0002-2903-6993)
- Frederico Caeiro (ORCID: https://orcid.org/0000-0001-8628-7281)
- Lígia Henriques‐Rodrigues (ORCID: https://orcid.org/0000-0003-4881-4188)
Institutions
- University of Lisbon (PT)
- University of Évora (PT)
- Universidade Nova de Lisboa (PT)
Publication Details
- Journal
- Mathematics
- Published
- 2024-09-14
- DOI
- https://doi.org/10.3390/math12182866
- Citations
- 1
- Primary Topic
- Financial Risk and Volatility Modeling
- Type
- article
- Field-Weighted Citation Impact
- 0.54
Funders
- Fundação para a Ciência e a Tecnologia