An estimator for the extreme-value index

DOI10.1080/03610929608831724zbMATH Open0875.62103OpenAlexW2038443936MaRDI QIDQ4337148FDOQ4337148

Authors: G. Draisma, Laurens De Haan 

Publication date: 11 November 1997

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929608831724

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zbMATH Keywords

parameter estimationsimulationextreme value indextail empirical process

Mathematics Subject Classification ID

Point estimation (62F10)

Cites Work

• Title not available (Why is that?)
• Statistical inference using extreme order statistics
• Functional central limit theorems for processes with positive drift and their inverses
• A moment estimator for the index of an extreme-value distribution
• Estimating the limit distribution of multivariate extremes

Cited In (8)

• A location-invariant probability weighted moment estimation of the Extreme Value Index
• Asymptotically unbiased estimators for the extreme-value index
• A moment estimator for the conditional extreme-value index
• Title not available (Why is that?)
• A Sieve model for extreme values
• Iterative estimation of the extreme value index
• Improved interexceedance-times-based estimator of the extremal index using truncated distribution
• Excess functions and estimation of the extreme-value index

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