A moment estimator for the index of an extreme-value distribution (Q914280)

Let \(X_ 1,X_ 2,..\). be a sequence of i.i.d. random variables. Suppose for some constants \(a_ n>0\) and \(b_ n\), \(n=1,2,...\), and some \(- \infty <\gamma <\infty:\) \[ \lim_{n\to \infty}P\{a_ n^{-1}(\max (X_ 1,...,X_ n)-b_ n)\leq x\}=G_{\gamma}(x),-\infty <x<\infty, \] where \(G_{\gamma}(x)=\exp (-(1+\gamma x)^{-1/\gamma})\) is the extreme-value distribution. The authors consider the estimation problem for the index \(\gamma\). They extend Hill's estimator for the index of a distribution function with regularly varying tail [\textit{B. M. Hill}, ibid. 3, 1163-1174 (1975; Zbl 0323.62033)] to an estimate for \(\gamma\). Consistency and asymptotic normality are proved. The authors also use the estimator for quantile and endpoint estimation.