Selecting the optimal sample fraction in univariate extreme value estimation

DOI10.1016/S0304-4149(98)00017-9zbMath0926.62013WikidataQ127213096 ScholiaQ127213096MaRDI QIDQ1805764

Holger Drees, Edgar Kaufmann

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

adaptive estimationextreme value distributionHill estimatoroptimal sample fraction

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Order statistics; empirical distribution functions (62G30)

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