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.

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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

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article

A New Class of Reduced-Bias Generalized Hill Estimators

M. Ivette Gomes, Frederico Caeiro, Lígia Henriques‐Rodrigues
1 citations
Mathematics
Financial Risk and Volatility Modeling
0.54
article

A New Class of Reduced-Bias Generalized Hill Estimators

M. Ivette Gomes, Frederico Caeiro, Lígia Henriques‐Rodrigues
article en
1 citations

Abstract

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.

MathematicsVol. 12(18)
University of Lisbon (PT), University of Évora (PT), Universidade Nova de Lisboa (PT)
Fundação para a Ciência e a Tecnologia
Openalex Percentile: Top 30%
Financial Risk and Volatility Modeling
0.54
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