A heuristic procedure to estimate the tail index

doi:10.1109/ICCSA.2014.55

Utilize este identificador para referenciar este registo: https://hdl.handle.net/1822/31567

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Campo DC	Valor	Idioma
dc.contributor.author	Ferreira, Marta Susana	por
dc.date.accessioned	2014-12-03T11:20:57Z	-
dc.date.available	2014-12-03T11:20:57Z	-
dc.date.issued	2014	-
dc.date.submitted	2014	-
dc.identifier.isbn	9781479942640	por
dc.identifier.uri	https://hdl.handle.net/1822/31567	-
dc.description.abstract	The estimation of the tail index is a very important issue within extreme value theory. Semi-parametric estimators usually require the choice of the number k of upper order statistics to use in the estimation, which is a difficult problem to handle. Here it is applied a heuristic graphical method to well-known semi-parametric tail index estimators and analyze it through simulation. It will be seen that some criteria lead to good results.	por
dc.description.sponsorship	Fundação para a Ciência e a Tecnologia (FCT)	por
dc.language.iso	eng	por
dc.publisher	IEEE	por
dc.relation	This research was financed by FEDER Funds through “Programa Operacional Factores de Competitividade - COMPETE” and by Portuguese Funds through FCT - ”Fundação para a Ciência e a Tecnologia”, within the Project PEst-OE/MAT/UI0013/2014	por
dc.rights	restrictedAccess	por
dc.subject	Extreme value theory	por
dc.subject	Tail index estimation	por
dc.title	A heuristic procedure to estimate the tail index	por
dc.type	conferencePaper	-
dc.peerreviewed	yes	por
sdum.publicationstatus	published	por
oaire.citationConferenceDate	30 jun. - 03 jul. 2014	por
sdum.event.type	conference	por
oaire.citationStartPage	241	por
oaire.citationEndPage	245	por
oaire.citationConferencePlace	Guimarães	por
oaire.citationTitle	14th International Conference in Computational Science and Its Applications – ICCSA 2014	por
dc.identifier.doi	10.1109/ICCSA.2014.55	por
dc.subject.fos	Ciências Sociais::Economia e Gestão	por
dc.subject.wos	Science & Technology	por
sdum.conferencePublication	14th International Conference in Computational Science and Its Applications – ICCSA 2014	por
sdum.bookTitle	2014 14TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL SCIENCE AND ITS APPLICATIONS (ICCSA)	por
Aparece nas coleções:	CMAT - Artigos em atas de conferências e capítulos de livros com arbitragem / Papers in proceedings of conferences and book chapters with peer review