McRobie, FA (2013) Elemental unbiased estimators for the Generalized Pareto tail.Full text not available from this repository.
Unbiased location- and scale-invariant `elemental' estimators for the GPD tail parameter are constructed. Each involves three log-spacings. The estimators are unbiased for finite sample sizes, even as small as N=3. It is shown that the elementals form a complete basis for unbiased location- and scale-invariant estimators constructed from linear combinations of log-spacings. Preliminary numerical evidence is presented which suggests that elemental combinations can be constructed which are consistent estimators of the tail parameter for samples drawn from the pure GPD family.
|Divisions:||Div D > Structures|
|Depositing User:||Unnamed user with email email@example.com|
|Date Deposited:||16 Jul 2015 14:24|
|Last Modified:||29 Aug 2015 00:16|