Comparison of tail index estimators

Statistica Neerlandica

Volumn 52, Issue 1, 1998, Pages 60-70

  De Haan, L ^a   Peng, L ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Asymptotic normality; Extreme value index; Mean squared error; Order statistics

Indexed keywords

EID: 0032330687     PISSN: 00390402     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9574.00068     Document Type: Article

References (6)

1. DEKKERS, A. L. M., J. H. J. EINMAHL and L. DE HAAN (1989), A moment estimator for the index of an extreme-value distribution, Annals of Statistics 17, 1833-1855.
2. DEKKERS, A. L. M. and L. DE HAAN (1993), Optimal choice of sample fraction in extreme-value estimation, Journal of Multivariate Analysis 47, 173-195.
3. DE HAAN, L. and S. I. RESNICK (1993), Estimating the limit distribution of multivariate extremes, Communications in Statistics 9, 275-309.
4. GELUK, J. and L. DE HAAN (1987), Regular variation, extensions and Tauberian theorems, CWI Tract 40, Center for Mathematics and Computer Science, P.O. Box 4079, 1009 AB Amsterdam, The Netherlands.
5. HILL, B. M. (1975), A simple general approach to inference about the tail of a distribution, Annals of Statistics 3, 1163-1174.
6. PICKANDS, J. III (1975), Statistical inference using extreme order statistics, Annals of Statistics 3, 119-131.