Refined Pickands estimators of the extreme value index
Drees, Holger
Ann. Statist., Tome 23 (1995) no. 6, p. 2059-2080 / Harvested from Project Euclid
Consider a distribution function that belongs to the weak domain of attraction of an extreme value distribution. The extreme value index $\beta$ will be estimated by mixtures of Pickands estimators, where the weights are generated by a probability measure which satisfies a certain integrability condition. We prove a functional limit theorem for a process of Pickands estimators and asymptotic normality of the refined Pickands estimator. For negative $\beta$ the new estimator is asymptotically superior to previously defined estimators. A simulation study also demonstrates the good small-sample performance. In particular, the estimator proves to be robust against an inappropriate choice of the number of upper order statistics used for estimation.
Publié le : 1995-12-14
Classification:  Extreme value index,  tail index,  refined Pickands estimator,  Pickands process,  asymptotic normality,  robustness,  moment estimator,  62G05,  62G20,  62G30
@article{1034713647,
     author = {Drees, Holger},
     title = {Refined Pickands estimators of the extreme value index},
     journal = {Ann. Statist.},
     volume = {23},
     number = {6},
     year = {1995},
     pages = { 2059-2080},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1034713647}
}
Drees, Holger. Refined Pickands estimators of the extreme value index. Ann. Statist., Tome 23 (1995) no. 6, pp.  2059-2080. http://gdmltest.u-ga.fr/item/1034713647/