Journal of Statistical Theory and Practice

, Volume 9, Issue 1, pp 184–199 | Cite as

Modeling Extreme Events: Sample Fraction Adaptive Choice in Parameter Estimation

  • M. Manuela Neves
  • M. Ivette Gomes
  • Fernanda Figueiredo
  • Dora Prata GomesEmail author


When modeling extreme events, there are a few primordial parameters, among which we refer to the extreme value index (EVI) and the extremal index (EI). Under a framework related to large values, the EVI measures the right tail weight of the underlying distribution and the EI characterizes the degree of local dependence in the extremes of a stationary sequence. Most of the semiparametric estimators of these parameters show the same type of behavior: nice asymptotic properties but a high variance for small values of k, the number of upper order statistics used in the estimation, and a high bias for large values of k. This brings a real need for the choice of k. Choosing some well-known estimators of those two parameters, we revisit the application of a heuristic algorithm for the adaptive choice of k. A simulation study illustrates the performance of the proposed algorithm.


Adaptive choice Extremal index Extreme value index Sample fraction Semiparametric estimation 

AMS Subject Classification

Primary 62G32 Secondary 65C05 


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Copyright information

© Grace Scientific Publishing 2015

Authors and Affiliations

  • M. Manuela Neves
    • 1
  • M. Ivette Gomes
    • 2
  • Fernanda Figueiredo
    • 3
  • Dora Prata Gomes
    • 4
    Email author
  1. 1.ISA and CEAULUniversidade de LisboaLisboaPortugal
  2. 2.FCUL, DEIO, and CEAULUniversidade de LisboaLisboaPortugal
  3. 3.FEP and CEAULUniversidade do PortoPortoPortugal
  4. 4.Mathematics Department, FCT and CMAUniversidade Nova de LisboaLisboa, CaparicaPortugal

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