Mixed moment estimator and location invariant alternatives
Fraga Alves,M.I. Gomes,M.I. de Haan,L.F.M. Neves,C.
Fraga Alves,M.I.
Gomes,M.I.
de Haan,L.F.M.
Neves,C.
Abstract
A new class of estimators of the extreme value index is developed. It has a simple form and is asymptotically very close to the maximum likelihood estimator for a wide class of heavy-tailed models. We also propose an alternative class of estimators, dependent on a tuning parameter pāāā(0,1) and invariant for changes in both scale and/or location. Such a tuning parameter can help us to choose the number of top order statistics to be used in the estimation of extreme parameters.
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Date
2009
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Research Projects
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Citation
Fraga Alves, M I, Gomes, M I, de Haan, L F M & Neves, C 2009, 'Mixed moment estimator and location invariant alternatives', Extremes, vol. 12, no. 2, pp. 149-186.