1. FCUL, DEIO and CEAUL , Universidade de Lisboa , Lisboa , Portugal ivette.gomes@fc.ul.pt;3. ISA and Centro de Estudos Florestais , Universidade Técnica de Lisboa;4. ISA , Universidade Técnica de Lisboa, and CEAUL , Lisboa , Portugal
Abstract:
In this article, we revisit the importance of the generalized jackknife in the construction of reliable semi-parametric estimates of some parameters of extreme or even rare events. The generalized jackknife statistic is applied to a minimum-variance reduced-bias estimator of a positive extreme value index—a primary parameter in statistics of extremes. A couple of refinements are proposed and a simulation study shows that these are able to achieve a lower mean square error. A real data illustration is also provided.