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

DOI10.1016/j.spl.2007.07.026zbMath1489.62155MaRDI QIDQ2483435

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

zbMATH Keywords

asymptotic theory; extreme value index; statistics of extremes; semi-parametric estimation

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G32: Statistics of extreme values; tail inference

Related Items

On an improvement of Hill and some other estimators, Semi-parametric tail inference through probability-weighted moments, Adaptive estimation of heavy right tails: resampling-based methods in action, Tail index estimation for heavy tails; accommodation of bias in the excesses over a high threshold, Reduced-Bias Tail Index Estimators Under a Third-Order Framework

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