Mixed moment estimator and location invariant alternatives

Autor:	M. Isabel Fraga Alves, Laurens de Haan, Cláudia Neves, M. Ivette Gomes
Rok vydání:	2008
Předmět:	Statistics and Probability Mathematical optimization Scale (ratio) Economics Econometrics and Finance (miscellaneous) Order statistic Estimator Trimmed estimator M-estimator Moment (mathematics) Applied mathematics Invariant (mathematics) Engineering (miscellaneous) Invariant estimator Mathematics
Zdroj:	Extremes. 12:149-185
ISSN:	1572-915X 1386-1999
DOI:	10.1007/s10687-008-0073-3
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::cf4105874e0ec3c9c1c7bc33d04dbf5f https://doi.org/10.1007/s10687-008-0073-3 Zobrazit plný text záznamu Full text from SpringerLink