Selecting the optimal sample fraction in univariate extreme value estimation

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

Edgar Kaufmann, Holger Drees

Publication date: 18 November 1999

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

zbMATH Keywords

adaptive estimation; extreme value distribution; Hill estimator; optimal sample fraction

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

62F10: Point estimation

62F35: Robustness and adaptive procedures (parametric inference)

62G30: Order statistics; empirical distribution functions

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