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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doi.org/10.1007/s10687-008-0073-3, hdl.handle.net/1765/14547
Extremes: statistical theory and applications in science, engineering and economics
Erasmus School of Economics