Estimation of a Scale Second-Order Parameter Related to the PORT Methodology
For heavy right tails and under a semiparametric framework, we introduce a class of location-invariant estimators of a scale second-order parameter and study its asymptotic nondegenerate behavior. This class is based on the PORT methodology, with PORT standing for peaks over random thresholds. The consistency and asymptotic normality of the new class of estimators is achieved under a third-order condition on the right tail of the underlying model F for intermediate and large ranks, respectively. An illustration of the finite sample behavior of the estimators is provided through a Monte Carlo simulation study.
KeywordsLocation/scale invariant estimation PORT methodology Semiparametric estimation Scale second-order parameters Statistics of extremes
AMS 2000 Subject ClassificationPrimary 62G32, 62E20 Secondary 65C05
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