Template-Type: ReDIF-Paper 1.0
Author-Name: Draisma, G.
Author-Name-Last: Draisma
Author-Name-First: Gerrit
Author-Name: de Haan, L.F.M.
Author-Name-Last: de Haan
Author-Name-First: Laurens
Author-Name: Peng, L.
Author-Name-Last: Peng
Author-Name-First: Liang
Author-Name: Pereira, T.T.
Author-Name-Last: Pereira
Title: A bootstrap-based method to achieve optimality on estimating the extreme-value index
Abstract: Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptive method to choose the number of order statistics involved in an optimal way, balancing variance and bias components. Recently this has been achieved for the similar but somewhat less involved case of regularly varying tails (Drees and Kaufmann(1997); Danielsson et al.(1996)). The present paper follows the line of proof of the last mentioned paper.
Creation-Date: 2000-05-25
File-URL: https://repub.eur.nl/pub/1650/1650.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2000-18/A
Keywords: Pickands estimator, bootstrap, mean squared error, moment estimator
Handle: RePEc:ems:eureir:1650