Papers by Ligia Rodrigues
Journal of Statistical Computation and Simulation, 2008
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Extremes, 2008
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Communications in Statistics-theory and Methods, 2009
In this article, we are interested in the comparison, under a third-order framework, of classes o... more In this article, we are interested in the comparison, under a third-order framework, of classes of second-order, reduced-bias tail index estimators, giving particular emphasis to minimum-variance reduced-bias estimators of the tail index γ. The full asymptotic distributional properties of the proposed classes are derived under a third-order framework and the estimators are compared with other alternatives, not only asymptotically, but
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Communications in Statistics: Simulation and Computation, 2011
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Journal of Statistical Computation and Simulation, 2010
In this paper we are interested in the derivation of the asymptotic and finite-sample distributio... more In this paper we are interested in the derivation of the asymptotic and finite-sample distributional properties of a ‘quasi-maximum likelihood’ estimator of a ‘scale’ second-order parameter β, directly based on the log-excesses of an available sample. Such estimation is of primordial importance for the adaptive selection of the optimal sample fraction to be used in the classical semi-parametric tail index
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In many areas of application, like for instancestatistical quality control, insurance andfinance,... more In many areas of application, like for instancestatistical quality control, insurance andfinance, a typical requirement is to estimate ahigh quantile, i.e., the Value at Risk at a level p, high enough, so that the chance of an exceedance of that value is equal top, small. In this paper we provide an empirical data analysis of logreturns associated to a set
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In this paper, we deal with the estimation, under a semi-parametric framework, of the Value-at-Ri... more In this paper, we deal with the estimation, under a semi-parametric framework, of the Value-at-Risk (VaR) at a level p, the size of the loss occurred with a small probability p. Under such a context, the classical VaR estimators are the WeissmanHill estimators, ...
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Journal of the Royal …, 2008
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Papers by Ligia Rodrigues