Glaciares de Chile


"Weak properties and robustness of t-Hill estimators"

Jordanova, P.; Fabian, Z.; Hermann, P.; Strelec, L.; Rivera, A.; Girard, S.; Torres, S. and Stehlik, M. (2016) : «Weak properties and robustness of t-Hill estimators» Extremes: Statistical Theory and Applications in Science, Engineering and Economics, 19:591–626 DOI 10.1007/s10687-016-0256-2.

Resumen / Abstract.

We describe a novel method of heavy tails estimation based on transformed score (t-score). Based on a new score moment method we derive the t-Hill estimator, which estimates the extreme value index of a distribution function with regularly varying tail. t-Hill estimator is distribution sensitive, thus it differs in e.g. Pareto and log-gamma case. Here, we study both forms of the estimator, i.e. t-Hill and t-lgHill.