Estimation of the tail parameter in the domain of attraction of an extremal distribution

DOI10.1016/0378-3758(94)00068-9zbMath0820.62032OpenAlexW2162064844WikidataQ127230427 ScholiaQ127230427MaRDI QIDQ1890873

M. Isabel Fraga Alves

Publication date: 5 July 1995

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

Full work available at URL: https://doi.org/10.1016/0378-3758(94)00068-9

zbMATH Keywords

rate of convergenceorder statisticsgeneralized extreme value distributionregularly varying tailextremal parameteroptimal number of top order statistics

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Point estimation (62F10) Extreme value theory; extremal stochastic processes (60G70) Rate of growth of functions, orders of infinity, slowly varying functions (26A12)

Related Items (9)

Generalized Pickands' estimators for the tail index parameter and max-semistability ⋮ Simple tail index estimation for dependent and heterogeneous data with missing values ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach ⋮ Generalized Pickands estimators for the extreme value index ⋮ Weiss-Hill estimator ⋮ Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions ⋮ A tail bootstrap procedure for estimating the tail Pareto-index ⋮ On a generalized Pickands estimator of the extreme value index

Cites Work

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• On a shape estimator of weiss
• Limit theorems for the ratio of the empirical distribution function to the true distribution function
• Asymptotic inference about a density function at an end of its range

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