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

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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Moment Estimator
Tuning
Parameter Tuning
Invariant
Alternatives
Extreme Value Index
Maximum likelihood
Estimator
Statistics
Order Statistics
Maximum Likelihood Estimator
Extremes
Choose
Dependent
Class
Model

Cite this

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.
Fraga Alves, M.I. ; Gomes, M.I. ; de Haan, L.F.M. ; Neves, C. / Mixed moment estimator and location invariant alternatives. In: Extremes. 2009 ; Vol. 12, No. 2. pp. 149-186.
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Fraga Alves, MI, Gomes, MI, de Haan, LFM & Neves, C 2009, 'Mixed moment estimator and location invariant alternatives', Extremes, vol. 12, no. 2, pp. 149-186.

Mixed moment estimator and location invariant alternatives. / Fraga Alves, M.I.; Gomes, M.I.; de Haan, L.F.M.; Neves, C.

In: Extremes, Vol. 12, No. 2, 2009, p. 149-186.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Mixed moment estimator and location invariant alternatives

AU - Fraga Alves, M.I.

AU - Gomes, M.I.

AU - de Haan, L.F.M.

AU - Neves, C.

PY - 2009

Y1 - 2009

N2 - 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.

AB - 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.

M3 - Article

VL - 12

SP - 149

EP - 186

JO - Extremes

JF - Extremes

SN - 1386-1999

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Fraga Alves MI, Gomes MI, de Haan LFM, Neves C. Mixed moment estimator and location invariant alternatives. Extremes. 2009;12(2):149-186.