A class of Pickands-type estimators for the extreme value index

DOI10.1016/S0378-3758(99)00085-3zbMath0942.62024OpenAlexW1965190249MaRDI QIDQ1969141

Seokhoon Yun

Publication date: 16 March 2000

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

Full work available at URL: https://doi.org/10.1016/s0378-3758(99)00085-3

zbMATH Keywords

consistencyasymptotic normalityPickands estimatorextreme value indexgeneralized Pareto distributiondelta-neighborhood

Mathematics Subject Classification ID

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

Related Items (4)

A review of more than one hundred Pareto-tail index estimators ⋮ Generalized Pickands estimators for the extreme value index ⋮ Abelian and Tauberian Theorems on the Bias of the Hill Estimator ⋮ On a generalized Pickands estimator of the extreme value index

Cites Work

• On the estimation of the extreme-value index and large quantile estimation
• A moment estimator for the index of an extreme-value distribution
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Laws of large numbers for sums of extreme values
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Refined Pickands estimators of the extreme value index
• On a shape estimator of weiss
• Efficiency of convex combinations of pickands estimator of the extreme value index
• Central limit theorems for sums of extreme values
• Almost sure convergence of the Hill estimator
• Asymptotic inference about a density function at an end of its range

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