Estimation of the extreme-value index and generalized quantile plots
Beirlant, J. ; Dierckx, G. ; Guillou, A.
Bernoulli, Tome 11 (2005) no. 1, p. 949-970 / Harvested from Project Euclid
In extreme-value analysis, a central topic is the adaptive estimation of the extreme-value index γ. Hitherto, most of the attention in this area has been devoted to the case γ>0, that is, when is a regularly varying function with index -1/γ. In addition to the well-known Hill estimator, many other estimators are currently available. Among the most important are the kernel-type estimators and the weighted least-squares slope estimators based on the Pareto quantile plot or the Zipf plot, as reviewed by Csörgö and Viharos. Using an exponential regression model (ERM) for spacings between successive extreme order statistics, both Beirlant et al. and Feuerverger and Hall introduced bias-reduced estimators.
Publié le : 2005-12-14
Classification:  bias,  extreme-value index,  least squares,  mean squared error,  quantile plots
@article{1137421635,
     author = {Beirlant, J. and Dierckx, G. and Guillou, A.},
     title = {Estimation of the extreme-value index and generalized quantile plots},
     journal = {Bernoulli},
     volume = {11},
     number = {1},
     year = {2005},
     pages = { 949-970},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1137421635}
}
Beirlant, J.; Dierckx, G.; Guillou, A. Estimation of the extreme-value index and generalized quantile plots. Bernoulli, Tome 11 (2005) no. 1, pp.  949-970. http://gdmltest.u-ga.fr/item/1137421635/