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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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
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