Mixed moment estimator and location invariant alternatives (Q626286)
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scientific article; zbMATH DE number 5855723
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mixed moment estimator and location invariant alternatives |
scientific article; zbMATH DE number 5855723 |
Statements
Mixed moment estimator and location invariant alternatives (English)
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22 February 2011
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The authors present a new class of estimators of the extreme value index and compare its properties with the most popular extreme value estimators. The main results leading to weak consistency and asymptotic normality of the proposed mixed moment estimators and their location invariant versions are proved. The performance of the new estimators is illustrated by a small-scale Monte Carlo simulation.
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extreme value index
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semi-parametric estimation
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statistics of extremes
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