Refined Pickands estimators of the extreme value index

DOI10.1214/aos/1034713647zbMath0883.62036OpenAlexW1985439622MaRDI QIDQ1922380

Holger Drees

Publication date: 23 March 1998

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

Full work available at URL: https://doi.org/10.1214/aos/1034713647

zbMATH Keywords

robustnessasymptotic normalitytail indexmoment estimatorextreme value indexPickands processrefined Pickands estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

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