Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches

Author

Bolancé Losilla, Catalina

Bahraoui, Zuhair

Alemany Leira, Ramon

Other authors

Xarxa de Referència en Economia Aplicada (XREAP)

Publication date

2015-01-21



Abstract

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 sample size is small.

Document Type

Working document

Language

English

CDU Subject

311 - Statistics as a science. Statistical theory; 314 - Demography. Population studies; 33 - Economics. Economic science; 331 - Labour. Employment. Work. Labour economics. Organization of labour.

Subject

Econometria; Econometrics; Distribució (Teoria de la probabilitat); Distribution (Probability theory)

Pages

36 p.

Publisher

Xarxa de Referència en Economia Aplicada (XREAP)

Collection

XREAP; 2015-01

Documents

XREAP2015-01.pdf

220.8Kb

 

Rights

L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/

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