Optimal choice of sample fraction in extreme-value estimation

DOI10.1006/jmva.1993.1078zbMath0797.62016OpenAlexW2076253795MaRDI QIDQ1321980

Arnold L. M. Dekkers, Laurens De Haan

Publication date: 6 June 1994

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/5577

zbMATH Keywords

extreme value distribution Hill estimator extreme value index maximum domain of attraction asymptotic bias of moment estimators iid sample regular variation of the generalised inverse upper order statistics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70)

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