Optimal rates of convergence for estimates of the extreme value index

DOI10.1214/aos/1030563992zbMath0934.62047OpenAlexW1974480047MaRDI QIDQ1807081

Holger Drees

Publication date: 9 November 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1030563992

zbMATH Keywords

rate of convergencerobustnessoptimalitymoment estimatorHill estimatorextreme value indexPickands estimators

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Nonparametric estimation (62G05)

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Cites Work

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• On the Best Obtainable Asymptotic Rates of Convergence in Estimation of a Density Function at a Point
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