2009-06-01
Mixed moment estimator and location invariant alternatives
Publication
Publication
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.
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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 | |
| Organisation | Erasmus School of Economics |
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Fraga Alves, I., Gomes, I., de Haan, L., & 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 |
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