A two-step estimator of the extreme value index

In this paper, we build a two-step estimator γSTEP, which satisfies √k(γSTEP - γML) →P 0, where γML is the well-known maximum likelihood estimator of the extreme value index. Since the two-step estimator γSTEP can be calculated easily as a function of the observations, it is much simpler to use in practice. By properly choosing the first step estimator, such as the Pickands estimator, we can even get a shift and scale invariant estimator with the above property.

• View at Publisher
• View at Scopus