Mixed moment estimator and location invariant alternatives |
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| Authors: | M. Isabel Fraga Alves M. Ivette Gomes Laurens de Haan Cláudia Neves |
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| Affiliation: | (1) CEAUL, DEIO, Faculty of Science, University of Lisbon, Lisbon, Portugal;(2) Department of Econometrics & OR and CentER, Tilburg University, Tilburg, The Netherlands;(3) Department of Economics, Erasmus University Rotterdam, Rotterdam, The Netherlands;(4) CEAUL, University of Lisbon, Lisbon, Portugal;(5) UIMA, Department of Mathematics, University of Aveiro, Aveiro, Portugal |
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| 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 p ∈ (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. Research partially supported by FCT / POCTI, POCI, PCDT and PPCDT / FEDER. |
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| Keywords: | Extreme value index Semi-parametric estimation Statistics of extremes |
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