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.
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| Veröffentlicht in: | The Annals of statistics 1989-12, Vol.17 (4), p.1833-1855 |
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| container_end_page | 1855 |
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| container_issue | 4 |
| container_start_page | 1833 |
| container_title | The Annals of statistics |
| container_volume | 17 |
| creator | Dekkers, A. L. M. Einmahl, J. H. J. De Haan, L. |
| description | 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. |
| doi_str_mv | 10.1214/aos/1176347397 |
| format | Article |
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| ispartof | The Annals of statistics, 1989-12, Vol.17 (4), p.1833-1855 |
| issn | 0090-5364 2168-8966 |
| language | eng |
| recordid | cdi_projecteuclid_primary_oai_CULeuclid_euclid_aos_1176347397 |
| source | JSTOR Mathematics & Statistics; JSTOR Archive Collection A-Z Listing; EZB-FREE-00999 freely available EZB journals; Project Euclid Complete |
| subjects | 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 |
| title | A Moment Estimator for the Index of an Extreme-Value Distribution |
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