A general estimator for the right endpoint with an application to supercentenarian women's record

Fraga Alves, I., Neves, C. ORCID: https://orcid.org/0000-0003-1201-5720 and Rosario, P. (2017) A general estimator for the right endpoint with an application to supercentenarian women's record. Extremes, 20 (1). pp. 199-237. ISSN 1572-915X doi: 10.1007/s10687-016-0260-6

Abstract/Summary

We extend the setting of the right endpoint estimator introduced in Fraga Alves and Neves (Statist. Sinica 24:1811{1835, 2014) to the broader class of light-tailed distributions with finite endpoint, belonging to some domain of attraction induced by the extreme value theorem. This stretch enables a general estimator for the finite endpoint, which does not require estimation of the (supposedly non-positive) extreme value index. A new testing procedure for selecting max-domains of attraction also arises in connection with the asymptotic properties of the general endpoint estimator. The simulation study conveys that the general endpoint estimator is a valuable complement to the most usual endpoint estimators, particularly when the true extreme value index stays above -1/2, embracing the most common cases in practical applications. An illustration is provided via an extreme value analysis of supercentenarian women data.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/65879
Identification Number/DOI	10.1007/s10687-016-0260-6
Refereed	Yes
Divisions	Science > School of Mathematical, Physical and Computational Sciences > Department of Mathematics and Statistics
Publisher	Springer
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