A local moment type estimator for the extreme value index in regression with random covariates

DOI10.1002/cjs.11219zbMath1297.62116OpenAlexW1877317634MaRDI QIDQ2925558

Yuri Goegebeur, Michael Osmann, Armelle Guillou

Publication date: 16 October 2014

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11219

zbMATH Keywords

extreme value indexsecond-order conditionmax-domain of attractionlocal estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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Uses Software

• ismev

Cites Work

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