Title:	Bootstrap and Moment Estimator of the Tail Index γ
Authors:	Kohout, Václav Pěchoučková, Šárka
Citation:	KOHOUT, V. PĚCHOUČKOVÁ, Š.Bootstrap and Moment Estimator of the Tail Index γ. In: Aplimat 2020 proceedings : 19th conference on applied mathematics. Bratislava: Slovak University of Technology in Bratislava, 2020. s. 666-678. ISBN 978-80-227-4983-1, ISSN 2340-1117.
Issue Date:	2020
Publisher:	Slovak University of Technology in Bratislava
Document type:	konferenční příspěvek conferenceObject
URI:	2-s2.0-85082402221 http://hdl.handle.net/11025/42939
ISBN:	978-80-227-4983-1
ISSN:	2340-1117
Keywords in different language:	statistics;education;mathematics
Abstract in different language:	One of the major interests in extreme-value statistics is to infer the tail properties of the distribution functions in the domains of attraction of an extreme-value distribution and predict rare events. There is the primary problem to find the estimation of the tail index usually performed on the basis of the largest k order statistics in the sample. The question that has been often solved in applications of extreme value theory is the choice of k or an estimation of . We shall be here mainly interested in the use of the bootstrap methodology to estimate Extreme Value Index (EVI) . We study and compute general case of this tail index . We shall also compare, through Monte Carlo simulation, these bootstrap methodologies with other data - driven choices of the optimal sample fraction.
Rights:	Plný text není přístupný. © Slovak University of Technology in Bratislava
Appears in Collections:	Postprinty / Postprints (KMT) OBD

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