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Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes |
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| Authors: | M. Ivette Gomes Laurens de Haan Liang Peng |
| Affiliation: | (1) DEIO, Faculdade de Ciências de Lisboa, Bloco C2, Piso 2, Campo Grande, 1749-016 Lisboa, Portugal;(2) Department of Econometrics, Faculty of Economics, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands;(3) School of Mathematics, Georgia Institute of Technology, 686 Cherry Street, Atlanta, GA 30332-0160, USA |
| Abstract: | We present a class of semi-parametric estimators for the second order parameter related to a probability distribution with a regularly varying tail. The second order parameter plays an important role whenever dealing with optimization problems in statistics of extreme values. Consistency and asymptotic normality are proven under appropriate conditions. |
| Keywords: | statistics of extremes tail inference semi-parametric estimation second order parameter |
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