An estimator for the extreme-value index

DOI10.1080/03610929608831724zbMath0875.62103OpenAlexW2038443936MaRDI QIDQ4337148

Gerrit Draisma, Laurens De Haan

Publication date: 11 November 1997

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929608831724

zbMATH Keywords

parameter estimationsimulationextreme value indextail empirical process

Mathematics Subject Classification ID

Point estimation (62F10)

Cites Work

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• A moment estimator for the index of an extreme-value distribution
• Statistical inference using extreme order statistics
• Estimating the limit distribution of multivariate extremes
• Functional central limit theorems for processes with positive drift and their inverses

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