Asymptotic expansions for the location invariant moment-type estimator

DOI10.1016/j.matcom.2009.12.002zbMath1183.62084OpenAlexW1994506047MaRDI QIDQ2270461

Miaomiao Liu, Zuo Xiang Peng, Saralees Nadarajah

Publication date: 18 March 2010

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2009.12.002

zbMATH Keywords

consistencyasymptotic expansionasymptotic normalityextreme value index

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (1)

Heavy tail index estimation based on block order statistics

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
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• Asymptotic expansion for distribution function of moment estimator for the extreme-value index.
• A location invariant Hill-type estimator
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