Adaptive Estimation of a Tail Shape Second Order Parameter: a Computational Comparative Study.

In Statistics of Extremes, the tail shape second order parameter is a relevant parameter whenever we want to improve the estimation of first order parameters. We shall consider two semi-parametric estimators of the shape second order parameter, parameterized with a tuning parameter. We provide a Monte Carlo comparative simulation study of several algorithms for the choice of such tuning parameter and for an adaptive estimation of the shape second order parameter. [ABSTRACT FROM AUTHOR]

Copyright of AIP Conference Proceedings is the property of American Institute of Physics and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)