A Simulation Study on the Performance of Extreme-Value Index Estimators and Proposed Robustifying Modifications

5th Hellenic European Conference on Computer Mathematics and its Applications, Athens, Greece, Vol. 2, pp. 847-852, 2001

6 Pages Posted: 28 Nov 2006

See all articles by Zoi Tsourti

Zoi Tsourti

Athens University of Economics and Business

John Panaretos

Athens University of Economics and Business

Abstract

The key issue of extreme-value theory is the estimation of a parameter γ, known as extreme value index. In this paper we review several extreme-value index estimators, ranging from the oldest ones to the most recent developments. Moreover, a smoothing procedure of these estimators are presented. A simulation study is conducted in order to compare the behaviour of the estimators and their smoothed alternatives. Maybe the most prominent results of this study is that no uniformly best estimator exists and that the behaviour of estimators depends on the value of the parameter γ itself.

Keywords: Extreme value index, Semi-parametric estimation, Smoothing modification

Suggested Citation

Tsourti, Zoi and Panaretos, John, A Simulation Study on the Performance of Extreme-Value Index Estimators and Proposed Robustifying Modifications. 5th Hellenic European Conference on Computer Mathematics and its Applications, Athens, Greece, Vol. 2, pp. 847-852, 2001, Available at SSRN: https://ssrn.com/abstract=947444

Zoi Tsourti

Athens University of Economics and Business ( email )

76 Patission Street
Athens, 104 34
Greece

John Panaretos (Contact Author)

Athens University of Economics and Business ( email )

29 Ithakis Str.
Athens, 11257
Greece

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