Mixed moment estimator and location invariant alternatives
Extremes: statistical theory and applications in science, engineering and economics , Volume 12 - Issue 2 p. 149- 185
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.
|Extreme value index, Semi-parametric estimation, Statistics of extremes|
|Extremes: statistical theory and applications in science, engineering and economics|
|Organisation||Erasmus School of Economics|
Fraga Alves, M.I, Gomes, M.I, de Haan, L.F.M, & Neves, C. (2009). 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