A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
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| 024 | 7 | 0 | |a 10.1007/s10687-015-0220-6 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10687-015-0220-6 | ||
| 100 | 1 | |a Gardes |D Laurent |u Université de Strasbourg & CNRS, IRMA, UMR 7501, 7 rue René Descartes, 67084, Strasbourg Cedex, France |4 aut | |
| 245 | 1 | 2 | |a A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes |h [Elektronische Daten] |c [Laurent Gardes] |
| 520 | 3 | |a The tail behavior of a survival function is controlled by the extreme value index. The aim of this paper is to propose a general procedure for the estimation of this parameter in the case where the observations are not necessarily distributed from the same distribution. The idea is to estimate in a consistent way the survival function and to apply a general functional to obtain a consistent estimator for the extreme value index. This procedure permits to deal with a large set of models such as conditional extremes and heteroscedastic extremes. The consistency of the obtained estimator is established under general conditions. A simulation study and a concrete application on financial data are proposed to illustrate the finite sample behavior of the proposed procedure. | |
| 540 | |a Springer Science+Business Media New York, 2015 | ||
| 690 | 7 | |a Extreme value index |2 nationallicence | |
| 690 | 7 | |a Conditional extremes |2 nationallicence | |
| 690 | 7 | |a Heteroscedastic extremes |2 nationallicence | |
| 690 | 7 | |a Consistency |2 nationallicence | |
| 773 | 0 | |t Extremes |d Springer US; http://www.springer-ny.com |g 18/3(2015-09-01), 479-510 |x 1386-1999 |q 18:3<479 |1 2015 |2 18 |o 10687 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10687-015-0220-6 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10687-015-0220-6 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Gardes |D Laurent |u Université de Strasbourg & CNRS, IRMA, UMR 7501, 7 rue René Descartes, 67084, Strasbourg Cedex, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Extremes |d Springer US; http://www.springer-ny.com |g 18/3(2015-09-01), 479-510 |x 1386-1999 |q 18:3<479 |1 2015 |2 18 |o 10687 | ||