A Pickands type estimator of the extreme value index

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One of the main goal of extreme value analysis is to estimate the probability of rare events given a sample from an unknown distribution. The upper tail behavior of this distribution is described by the extreme value index. We present a new estimator of the extreme value index adapted to any domain of attraction. Its construction is similar to the one of Pickands' estimator. its weak consistency and its asymptotic distribution are established and a bias reduction method is proposed. Our estimator is compared with classical extreme value index estimators through a simulation study.

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Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/70498

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0403299
 http://arxiv.org/abs/math/0403299

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arXiv