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On the comparison of several classical estimators of the extreme value index

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  • Ivanilda Cabral
  • Frederico Caeiro
  • M. Ivette Gomes

Abstract

Due to the fact that for heavy tails the classical Hill estimator of a positive extreme value index is asymptotically biased, new and interesting alternative estimators have appeared in the literature. In this work we compare several classical estimators of the extreme value index based on moments of the upper order statistics. Since several alternative estimators have eventually a null asymptotic bias, for some heavy tailed models, the comparison is performed not only with the Hill and recent generalized means estimators but also with an asymptotically unbiased Hill estimator. The comparison study is performed asymptotically, under a third-order framework, and for finite samples, through a Monte Carlo simulation study.

Suggested Citation

  • Ivanilda Cabral & Frederico Caeiro & M. Ivette Gomes, 2022. "On the comparison of several classical estimators of the extreme value index," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(1), pages 179-196, January.
    • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:1:p:179-196
    DOI: 10.1080/03610926.2020.1746970
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    References listed on IDEAS

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    1. Fátima Brilhante, M. & Ivette Gomes, M. & Pestana, Dinis, 2013. "A simple generalisation of the Hill estimator," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 518-535.
    2. Igor Fedotenkov, 2020. "A Review of More than One Hundred Pareto-Tail Index Estimators," Statistica, Department of Statistics, University of Bologna, vol. 80(3), pages 245-299.
    3. Tsourti, Zoi & Panaretos, John, 2003. "Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review," MPRA Paper 6390, University Library of Munich, Germany.
    4. L. De Haan & L. Peng, 1998. "Comparison of tail index estimators," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 52(1), pages 60-70, March.
    5. Gomes, M. Ivette & Pestana, Dinis, 2007. "A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 280-292, March.
    6. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
    7. M. Ivette Gomes & Armelle Guillou, 2015. "Extreme Value Theory and Statistics of Univariate Extremes: A Review," International Statistical Review, International Statistical Institute, vol. 83(2), pages 263-292, August.
    8. Jan Beran & Dieter Schell & Milan Stehlík, 2014. "The harmonic moment tail index estimator: asymptotic distribution and robustness," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(1), pages 193-220, February.
    9. Frederico Caeiro & M. Ivette Gomes, 2011. "Asymptotic comparison at optimal levels of reduced‐bias extreme value index estimators," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(4), pages 462-488, November.
    10. Gomes, M. Ivette & Neves, Cláudia, 2008. "Asymptotic comparison of the mixed moment and classical extreme value index estimators," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 643-653, April.
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