A Moment Estimator for the Index of an Extreme-Value Distribution

A Moment Estimator for the Index of an Extreme-Value Distribution

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.

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:The Annals of statistics 1989-12, Vol.17 (4), p.1833-1855
Hauptverfasser: Dekkers, A. L. M., Einmahl, J. H. J., De Haan, L.
Format: Artikel
Sprache:eng
Schlagworte:
62E20
62G30
Asymptotic value
Confidence interval
Distribution functions
Estimators
Estimators for the mean
Exact sciences and technology
Extreme-value theory
Logarithms
Mathematics
Nonparametric inference
parameter estimation
Probability and statistics
Probability theory
Sciences and techniques of general use
Statistical theories
Statistical variance
Statistics
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
ISSN:0090-5364
2168-8966
DOI:10.1214/aos/1176347397