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

Catalina Bolancé (), Zuhair Bahraoui and Ramon Alemany ()
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Catalina Bolancé: Riskcenter-IREA, Department of Econometrics. University of Barcelona
Zuhair Bahraoui: Riskcenter-IREA, Department of Econometrics. University of Barcelona
Ramon Alemany: Riskcenter-IREA, Department of Econometrics. University of Barcelona

No XREAP2015-01, Working Papers from Xarxa de Referència en Economia Aplicada (XREAP)

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.

Keywords: Transformed kernel estimation; cumulative distribution function; extreme value distribution. (search for similar items in EconPapers)
Pages: 36 pages
Date: 2015-01, Revised 2015-01
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Citations: View citations in EconPapers (5)

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http://www.xreap.cat/RePEc/xrp/pdf/XREAP2015-01.pdf Revised version, 2015 (application/pdf)

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