A moment estimator for the index of an extreme-value distribution

DOI10.1214/aos/1176347397zbMath0701.62029OpenAlexW2094528363MaRDI QIDQ914280

John H. J. Einmahl, Arnold L. M. Dekkers, Laurens De Haan

Publication date: 1989

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347397

zbMATH Keywords

asymptotic normalityquantile estimationendpoint estimationConsistencyHill's estimatorextreme-value distributionindex of a distribution functionregularly varying tail

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

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