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Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches

Author

Listed:
  • Catalina Bolancé

    (Riskcenter-IREA, Department of Econometrics. University of Barcelona)

  • Zuhair Bahraoui

    (Riskcenter-IREA, Department of Econometrics. University of Barcelona)

  • Ramon Alemany

    (Riskcenter-IREA, Department of Econometrics. University of Barcelona)

Abstract

We propose a new kernel estimation of the cumulative distribution function based on transformation and on bias reducing techniques. We derive the optimal bandwidth that minimises the asymptotic integrated mean squared error. The simulation results show that our proposed kernel estimation improves alternative approaches when the variable has an extreme value distribution with heavy tail and the sample size is small.

Suggested Citation

  • Catalina Bolancé & Zuhair Bahraoui & Ramon Alemany, 2015. "Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches," Working Papers XREAP2015-01, Xarxa de Referència en Economia Aplicada (XREAP), revised Jan 2015.
  • Handle: RePEc:xrp:wpaper:xreap2015-01
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    2. Jofre-Monseny, Jordi & Silva, José I. & Vázquez-Grenno, Javier, 2020. "Local labor market effects of public employment," Regional Science and Urban Economics, Elsevier, vol. 82(C).
    3. Ramos, Raul & Sanromá, Esteban & Simón, Hipólito, 2015. "An Analysis of Wage Differentials between Full- and Part-Time Workers in Spain," IZA Discussion Papers 9257, Institute of Labor Economics (IZA).
    4. Daniel Albalate & Jordi Rosell, 2016. "Persistent and transient efficiency on the stochastic production and cost frontiers – an application to the motorway sector," Working Papers XREAP2016-04, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2016.
    5. Carmen D. Álvarez-Albelo & Antonio Manresa & Monica Pigem-Vigo, 2015. "Growing through trade: the role of foreign growth and domestic tariffs," Working Papers XREAP2015-04, Xarxa de Referència en Economia Aplicada (XREAP), revised Nov 2015.

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    Keywords

    Transformed kernel estimation; cumulative distribution function; extreme value distribution.;
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