Asymptotic properties for a general extremevalue regression model

AUTOR(ES)

Wagner Barreto de Souza

DATA DE PUBLICAÇÃO

2009

RESUMO

In this thesis we introduce a general extreme-value regression model and derive Cox and Snellâs (1968) general formulae for second-order biases of maximum likelihood estimates (MLEs) of the parameters. We present formulae which can be computed by means of weighted linear regressions. Furthermore, we give the skewness of order n−1/2 of the MLEs of the parameters by using Bowman and Shentonâs (1998) formula. Special cases of this model and a simulation study with results obtained with the use of Cox and Snellâs (1968) formulae are presented. A practical use of this model and of the derived formulae for bias correction is also presented

ASSUNTO(S)

bias correction estatistica covariÃveis de dispersÃo modelo de regressÃo de valor-extremo estimativas de mÃxima verossimilhanÃa assimetria extreme-value regression model dispersion covariates skewness correÃÃo de viÃs maximum likelihood estimates

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