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Elemental unbiased estimators for the Generalized Pareto tail

McRobie, FA (2013) Elemental unbiased estimators for the Generalized Pareto tail.

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Abstract

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.

Item Type: Article
Subjects: UNSPECIFIED
Divisions: Div D > Structures
Depositing User: Cron Job
Date Deposited: 07 Mar 2014 11:59
Last Modified: 10 Mar 2014 17:17
DOI: