A two-step estimator of the extreme value index |
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Authors: | Chen Zhou |
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Institution: | (1) Tinbergen Institute H09-32, Erasmus University Rotterdam, P.O. Box 1738, 3000DR Rotterdam, The Netherlands |
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Abstract: | In this paper, we build a two-step estimator , which satisfies , where is the well-known maximum likelihood estimator of the extreme value index. Since the two-step estimator can be calculated easily as a function of the observations, it is much simpler to use in practice. By properly choosing the
first step estimator, such as the Pickands estimator, we can even get a shift and scale invariant estimator with the above property.
The author thanks Laurens de Haan for motivating this work and giving helpful comments. The author also thanks two anonymous
referees for their useful comments. |
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Keywords: | Extreme value index Maximum likelihood Shift and scale invariant estimator |
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