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DTIC ADA204930: Bias and Variance Approximations for Estimators of ... |
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by Defense Technical Information Center |
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Most techniques for estimating extreme values are based |
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on the assumption of a parametric family motivated by |
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extreme value limit theory. This creates two sources of |
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estimation error: The ordinary estimation variance and a |
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bias created by mis-specification of a parametric model. |
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In this paper approximate formulae are derived for the |
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bias and variance of four widely studied estimators. This |
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allows comparison among the different estimators. The |
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development relies on recent work on probabilistic |
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approximations in extreme value theory. Keywords: Extreme |
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values; Generalized extreme value distribution; |
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Generalized pareto distribution; Gumbel distribution; |
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Maximum likelihood; Threshold methods. |
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Date Published: 2018-02-21 23:54:11 |
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Identifier: DTIC_ADA204930 |
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Item Size: 22447228 |
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Language: english |
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Media Type: texts |
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# Topics |
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DTIC Archive; Smith, Richard L ; NORT... |
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