On a generalized Pickands estimator of the extreme value index

DOI10.1016/S0378-3758(01)00100-8zbMath0989.62030MaRDI QIDQ1598700

Seokhoon Yun

Publication date: 28 May 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

order statisticsconsistencyasymptotic normalityadaptive estimatorextreme value indexgeneralized Pickands estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (3)

A review of more than one hundred Pareto-tail index estimators ⋮ Generalized Pickands estimators for the extreme value index ⋮ Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions

Cites Work

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• The continuous and differentiable domains of attraction of the extreme value distributions
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• Statistical inference using extreme order statistics
• Estimation of the tail parameter in the domain of attraction of an extremal distribution
• Refined Pickands estimators of the extreme value index
• A class of Pickands-type estimators for the extreme value index
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Limit theorems for the ratio of the empirical distribution function to the true distribution function

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