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 language | English |
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Pages (from-to) | 149-186 |
Journal | Extremes |
Volume | 12 |
Issue number | 2 |
Publication status | Published - 2009 |