dc.contributor
Xarxa de Referència en Economia Aplicada (XREAP)
dc.contributor.author
Bolancé Losilla, Catalina
dc.contributor.author
Bahraoui, Zuhair
dc.contributor.author
Alemany Leira, Ramon
dc.date.accessioned
2015-01-22T13:39:38Z
dc.date.accessioned
2021-01-20T16:45:39Z
dc.date.accessioned
2024-11-29T09:40:31Z
dc.date.available
2015-01-22T13:39:38Z
dc.date.available
2021-01-20T16:45:39Z
dc.date.available
2024-11-29T09:40:31Z
dc.date.created
2015-01-21
dc.date.issued
2015-01-21
dc.identifier.uri
http://hdl.handle.net/2072/245261
dc.description.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.
cat
dc.publisher
Xarxa de Referència en Economia Aplicada (XREAP)
dc.relation.ispartofseries
XREAP;2015-01
dc.rights
info:eu-repo/semantics/openAccess
dc.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/
dc.source
RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject.other
Econometria
dc.subject.other
Econometrics
dc.subject.other
Distribució (Teoria de la probabilitat)
dc.subject.other
Distribution (Probability theory)
dc.title
Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches
dc.type
info:eu-repo/semantics/workingPaper
