A new class of estimators of the extreme value index is developed. It has a simple form and is asymptotically very close to the maximum likelihood estimator for a wide class of heavy-tailed models. We also propose an alternative class of estimators, dependent on a tuning parameter p ∈ (0,1) and invariant for changes in both scale and/or location. Such a tuning parameter can help us to choose the number of top order statistics to be used in the estimation of extreme parameters.

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Keywords Extreme value index, Semi-parametric estimation, Statistics of extremes
Persistent URL dx.doi.org/10.1007/s10687-008-0073-3, hdl.handle.net/1765/14547
Fraga Alves, M.I, Gomes, M.I, de Haan, L.F.M, & Neves, C. (2008). Mixed moment estimator and location invariant alternatives. Extremes: statistical theory and applications in science, engineering and economics, 12(2), 149–185. doi:10.1007/s10687-008-0073-3