Bias correction in extreme value statistics with index around zero

Juan Juan Cai*, Laurens de Haan, Chen Zhou

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

Applying extreme value statistics in meteorology and environmental science requires accurate estimators on extreme value indices that can be around zero. Without having prior knowledge on the sign of the extreme value indices, the probability weighted moment (PWM) estimator is a favorable candidate. As most other estimators on the extreme value index, the PWM estimator bears an asymptotic bias. In this paper, we develop a bias correction procedure for the PWM estimator. Moreover, we provide bias-corrected PWM estimators for high quantiles and, when the extreme value index is negative, the endpoint of a distribution. The choice of k, the number of high order statistics used for estimation, is crucial in applications. The asymptotically unbiased PWM estimators allows the choice of higher level k, which results in a lower asymptotic variance. Moreover, since the bias-corrected PWM estimators can be applied for a wider range of k compared to the original PWM estimator, one gets more flexibility in choosing k for finite sample applications. All advantages become apparent in simulations and an environmental application on estimating "once per 10,000 years" still water level at Hoek van Holland, The Netherlands.

Original languageEnglish
Pages (from-to)173-201
Number of pages29
JournalExtremes
Volume16
Issue number2
DOIs
Publication statusPublished - 1 Jun 2013
Externally publishedYes

Keywords

  • Bias correction
  • Endpoint estimation
  • Extreme value index
  • High quantile estimation
  • The probability weighted moment estimator

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