Weighted least squares estimation of the extreme value index

DOI10.1016/j.spl.2005.10.025zbMath1137.62334OpenAlexW2093418665MaRDI QIDQ2493855

Deyuan Li, Samuel Müller, Juerg Hüsler

Publication date: 16 June 2006

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

Full work available at URL: https://doi.org/10.1016/j.spl.2005.10.025

zbMATH Keywords

least squares estimatorHill estimatorextreme value index

Mathematics Subject Classification ID

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

Related Items (4)

Kernel estimation of the tail index of a right-truncated Pareto-type distribution ⋮ Semi-parametric estimation for heavy tailed distributions ⋮ A review of more than one hundred Pareto-tail index estimators ⋮ Smooth tail-index estimation

Cites Work

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• Refined Pickands estimators of the extreme value index
• Approximations to the tail empirical distribution function with application to testing extreme value conditions
• Maximum likelihood estimation in a class of nonregular cases
• Comparison of tail index estimators
• Asymptotic Distribution of Linear Combinations of Functions of Order Statistics with Applications to Estimation

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