Optimal rates of convergence for estimates of the extreme value index

DOI10.1214/aos/1030563992zbMath0934.62047MaRDI QIDQ1807081

Holger Drees

Publication date: 9 November 1999

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

Full work available at URL: https://doi.org/10.1214/aos/1030563992

zbMATH Keywords

rate of convergence; robustness; optimality; moment estimator; Hill estimator; extreme value index; Pickands estimators

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G35: Nonparametric robustness

62G05: Nonparametric estimation

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