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Mixed moment estimator and location invariant alternatives

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Abstract

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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Correspondence to M. Ivette Gomes.

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Research partially supported by FCT / POCTI, POCI, PCDT and PPCDT / FEDER.

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Fraga Alves, M.I., Gomes, M.I., de Haan, L. et al. Mixed moment estimator and location invariant alternatives. Extremes 12, 149–185 (2009). https://doi.org/10.1007/s10687-008-0073-3

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  • DOI: https://doi.org/10.1007/s10687-008-0073-3

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