Abstract
Under a semi-parametric framework and for heavy right tails, we introduce a class of location invariant estimators of an adequate shape second-order parameter, also ruling the rate of convergence of a normalized sequence of maximum values to a nondegenerate limit. This class is based on the PORT methodology, with PORT standing for peaks over random thresholds. Consistency of such estimators is achieved under a second-order condition on the right-tail of the underlying model F and for large intermediate ranks.
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Acknowledgements
This research was partially supported by National Funds through FCT — Fundação para a Ciência e a Tecnologia, project PEst-OE/MAT/UI0006/2011, PTDC/FEDER and grant SFRH/BPD/77319/2011.
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Henriques-Rodrigues, L., Gomes, M.I. (2013). A Note on the Port Methodology in the Estimation of a Shape Second-Order Parameter. In: Oliveira, P., da Graça Temido, M., Henriques, C., Vichi, M. (eds) Recent Developments in Modeling and Applications in Statistics. Studies in Theoretical and Applied Statistics(). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-32419-2_14
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DOI: https://doi.org/10.1007/978-3-642-32419-2_14
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