Excess functions and estimation of the extreme-value index

DOI10.2307/3318416zbMath0870.62019OpenAlexW2087219598MaRDI QIDQ1353412

Jan Beirlant, Jozef L. Teugels, Petra Vynckier

Publication date: 1 September 1997

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1178291833

zbMATH Keywords

asymptotic properties mean square error Pareto distribution weighted least squares mean excess function generalized quantile plot trimmed excess functions

Mathematics Subject Classification ID

Point estimation (62F10) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70)

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