Estimating Extreme Value Cumulative Distribution Functions Using Bias-Corrected Kernel Approaches
نویسندگان
چکیده
منابع مشابه
Document De Treball Xreap2015-01 Estimating Extreme Value Cumulative Distribution Functions Using Bias-corrected Kernel Approaches
We propose a new kernel estimation of the cumulative distribution function based on transformation and on bias reducing techniques. We derive the optimal bandwidth that minimises the asymptotic integrated mean squared error. The simulation results show that our proposed kernel estimation improves alternative approaches when the variable has an extreme value distribution with heavy tail and the ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2553543