Asymptotic comparison of the mixed moment and classical extreme value index estimators

DOI10.1016/J.SPL.2007.07.026zbMath1489.62155OpenAlexW1977885653MaRDI QIDQ2483435

M. Ivette Gomes, Cláudia Neves

Publication date: 28 April 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.07.026

zbMATH Keywords

asymptotic theoryextreme value indexstatistics of extremessemi-parametric estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (8)

Competitive estimation of the extreme value index ⋮ On the comparison of several classical estimators of the extreme value index ⋮ Semi-parametric tail inference through probability-weighted moments ⋮ On an improvement of Hill and some other estimators ⋮ Adaptive estimation of heavy right tails: resampling-based methods in action ⋮ A simple generalisation of the Hill estimator ⋮ Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold ⋮ Reduced-Bias Tail Index Estimators Under a Third-Order Framework

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• Comparison of tail index estimators
• On optimising the estimation of high quantiles of a probability distribution
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• A bootstrap-based method to achieve optimality in estimating the extreme-value index

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