Mixed moment estimator and location invariant alternatives

M.I. Fraga Alves, M.I. Gomes, L.F.M. de Haan, C. Neves

Research output: Contribution to journalArticleScientificpeer-review

33 Citations (Scopus)

Abstract

A new class of estimators of the extreme value index is developed. It has a simple form and is asymptotically very close to the maximum likelihood estimator for a wide class of heavy-tailed models. We also propose an alternative class of estimators, dependent on a tuning parameter p ∈ (0,1) and invariant for changes in both scale and/or location. Such a tuning parameter can help us to choose the number of top order statistics to be used in the estimation of extreme parameters.
Original languageEnglish
Pages (from-to)149-186
JournalExtremes
Volume12
Issue number2
Publication statusPublished - 2009

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    Fraga Alves, M. I., Gomes, M. I., de Haan, L. F. M., & Neves, C. (2009). Mixed moment estimator and location invariant alternatives. Extremes, 12(2), 149-186.