Asymptotic comparison of the mixed moment and classical extreme value index estimators

DOI10.1016/J.SPL.2007.07.026zbMATH Open1489.62155OpenAlexW1977885653MaRDI QIDQ2483435FDOQ2483435

Authors: M. Ivette Gomes, Cláudia Neves 

Publication date: 28 April 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.07.026

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zbMATH Keywords

asymptotic theoryextreme value indexsemi-parametric estimationstatistics of extremes

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Cites Work

• Extreme value theory. An introduction.
• Estimating tails of probability distributions
• A simple general approach to inference about the tail of a distribution
• On maximum likelihood estimation of the extreme value index.
• Reduced‐bias tail index estimation and the jackknife methodology
• Title not available (Why is that?)
• Comparison of tail index estimators
• On optimising the estimation of high quantiles of a probability distribution
• Title not available (Why is that?)
• Peaks over random threshold methodology for tail index and high quantile estimation
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• A moment estimator for the index of an extreme-value distribution
• A note on second order conditions in extreme value theory: linking general and heavy tail conditions
• A bootstrap-based method to achieve optimality in estimating the extreme-value index

Cited In (16)

• Multivariate moment based extreme value index estimators
• Asymptotic comparison at optimal levels of reduced-bias extreme value index estimators
• The PORTSEA (Portuguese School of Extremes and Applications) and a few personal scientific achievements
• Reduced-Bias Tail Index Estimators Under a Third-Order Framework
• Competitive estimation of the extreme value index
• Semi-parametric tail inference through probability-weighted moments
• Modeling nonstationary extremes of storm severity: comparing parametric and semiparametric inference
• A simple generalisation of the Hill estimator
• Weiss-Hill estimator
• Adaptive estimation of heavy right tails: resampling-based methods in action
• On an improvement of Hill and some other estimators
• Moment estimation for bivariate extreme value distributions in mixed models
• Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold
• Extreme value index estimator using maximum likelihood and moment estimation
• Mixed moment estimator and location invariant alternatives
• On the comparison of several classical estimators of the extreme value index

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