A Pickands type estimator of the extreme value index

arXivmath/0403299MaRDI QIDQ6473754FDOQ6473754

Publication date: 18 March 2004

Abstract: One of the main goal of extreme value analysis is to estimate the probability of rare events given a sample from an unknown distribution. The upper tail behavior of this distribution is described by the extreme value index. We present a new estimator of the extreme value index adapted to any domain of attraction. Its construction is similar to the one of Pickands' estimator. its weak consistency and its asymptotic distribution are established and a bias reduction method is proposed. Our estimator is compared with classical extreme value index estimators through a simulation study.

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