Some results on the behaviour of hill's estimator

Journal of Statistical Computation and Simulation

Volumn 63, Issue 3, 1999, Pages 283-297

  Martins, M João ^a   Gomes, M Ivette ^b   Neves, Manuela ^a  

^a UNIVERSITY OF LISBON   (Portugal)

^b UNIVERSITY OF LISBON   (Portugal)

Author keywords

Convex mixtures; Hill's estimator; Simulation; Tail index

Indexed keywords

EID: 0033473150     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949659908811957     Document Type: Article

References (7)

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3. Falk, M. (1994) Efficiency of convex combinations of Pickands estimator of the extreme value index, Nonparametric Statistics, 4, 133-147.
4. Goldie, C. and Smith, R. (1987) Slow variation with remainder: theory and applications, Quarterly Journal of Mathematics, 38, 45-71.
5. th ed.), Academic Press.
6. Hall, P. (1982) On some simple estimates of an exponent of regular variation, J.R. Statist Soc. B, 44(1), 37-42.
7. Hill, B. (1975) A simple general approach to inference about the tail of a distribution, The Annals of Statistics, 3(5), 1163-1174.