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Year of publication
Subject
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Transformed kernel estimation 1 cumulative distribution function 1 extreme value distribution 1
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Book / Working Paper 1
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Undetermined 1
Author
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Alemany, Ramon 1 Bahraoui, Zuhair 1 Bolancé, Catalina 1
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Xarxa de Referència en Economia Aplicada (XREAP) 1
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Working Papers / Xarxa de Referència en Economia Aplicada (XREAP) 1
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RePEc 1
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Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches
Bolancé, Catalina; Bahraoui, Zuhair; Alemany, Ramon - Xarxa de Referència en Economia Aplicada (XREAP) - 2015
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...
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