Timeline for Why GPD MLE (EVT) fails to estimate Tail Index for Student T?
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
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| Aug 4 at 8:31 | comment | added | Yves | The ML estimates of the GP parameters $\xi$ and $\beta$ are known to be biased for small samples. Yet since the two estimates are correlated it may be more relevant to study the bias on a high quantile rather than on one parameter. My findings (using R code) are that the GP approximation of the tail of the Student distribution with $4$ dfs works quite well with a threshold chosen as the quantile with probability $0.97$. | |
| Aug 2 at 16:26 | comment | added | Alex Craft | @JimB left and right tails should be estimated independently. Ideally, left estimator should use only <5% and right >95% of the data. | |
| Aug 1 at 5:17 | comment | added | JimB | What do you mean by "without using the full distribution"? | |
| Jul 31 at 10:04 | history | edited | Alex Craft | CC BY-SA 4.0 | added 19 characters in body |
| Jul 31 at 9:20 | history | edited | Alex Craft | CC BY-SA 4.0 | deleted 21 characters in body |
| Jul 31 at 8:34 | history | asked | Alex Craft | CC BY-SA 4.0 |