A Moment Estimator for the Index of an Extreme-Value Distribution
Dekkers, A. L. M. ; Einmahl, J. H. J. ; Haan, L. De
Ann. Statist., Tome 17 (1989) no. 1, p. 1833-1855 / Harvested from Project Euclid
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We extend Hill's well-known estimator for the index of a distribution function with regularly varying tail to an estimate for the index of an extreme-value distribution. Consistency and asymptotic normality are proved. The estimator is used for high quantile and endpoint estimation.
Publié le : 1989-12-14
Classification:  Extreme-value theory,  parameter estimation,  62E20,  62G30 
@article{1176347397,
     author = {Dekkers, A. L. M. and Einmahl, J. H. J. and Haan, L. De},
     title = {A Moment Estimator for the Index of an Extreme-Value Distribution},
     journal = {Ann. Statist.},
     volume = {17},
     number = {1},
     year = {1989},
     pages = { 1833-1855},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347397}
}

Dekkers, A. L. M.; Einmahl, J. H. J.; Haan, L. De. A Moment Estimator for the Index of an Extreme-Value Distribution. Ann. Statist., Tome 17 (1989) no. 1, pp.  1833-1855. http://gdmltest.u-ga.fr/item/1176347397/