Weiss-Hill estimator

Test

Volumn 10, Issue 1, 2001, Pages 203-224

  Fraga Alves, M Isabel ^a,b  

^a UNIVERSITY OF LISBON   (Portugal)

^b UNIVERSITY OF LISBON   (Portugal)

Author keywords

Extreme value index; Extreme value theory; Mean squared error; Parameter estimation; Simulation

Indexed keywords

EID: 0346511421     PISSN: 11330686     EISSN: None     Source Type: Journal    
DOI: 10.1007/bf02595832     Document Type: Article

References (12)

1. Arnold, B.C., N. Balakrishnan and H.N. Nagaraja (1992). A First Course in Order Statistics, first edition. John Wiley, New York.
2. 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.
3. Draisma, G., L. de Haan, L. Peng and T.T. Pereira (1999). A bootstrap-based method to achieve optimality in estimating the extreme-value index. Extremes, 2, 367-404.
4. Fraga Alves, M.I. (1995). Estimation of the tail parameter in the domain of attraction of an extremal distribution. Journal of Statistical Planning and Inference, 45, 143-173.
5. Fraga Alves, M.I. and M.I. Gomes (1996). Statistical choice of extreme value domains of attraction - a comparative analysis. Communications in Statistics, Theory and Methods, 25, 789-811.
6. de Haan, L. (1994). Extreme value statistics. In Extreme Value Theory and Applications I, 93-122 (J. Galambos, J. Lechner and E. Simiu, eds.) Kluwer Academic Publications, Dordrecht.
7. de Haan, L. and S. Resnick (1996). Second-order regular variation and rates of convergence in extreme-value theory. Annals of Probability, 24, 97-124.
8. de Haan, L. and U. Stadtmüller (1996). Generalized regular variation of second-order. Journal of the Australian Mathematical Society, A, 61, 381-395.
9. Hill, B.M. (1975). A simple general approach to inference about the tail of a distribution. Annals of Statistics, 3, 1163-1174.
10. Peng, L. (1998). Second Order Condition and Extreme Value Theory. PhD. Thesis Erasmus University of Rotterdam, Tinberg Institute Research Series 178.
11. Press, W.H., B.P. Flannery, S.A. Teukolski and W.T. Vetteling (1986). Numerical Recipes: the Art of Scientific Computing, first edition. Cambridge University Press, Cambridge.
12. Weiss, L. (1971). Asymptotic inference about a density function at the end of its range. Naval Res. Logist. Quart., 111-114.