Optimal choice of k n -records in the extreme value index estimation

Summary We propose an estimate for the index of extreme value distribution which based on k n -record values and show its consistency and asymptotic normality. The problem of specifying the optimal value of k = k n involved in our estimator is investigated. Some simulation results are also presented in order to illustrate the practical validation of asymptotic results for finite samples.

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Year of publication:	2005
Authors:	El Arrouchi, Mohamed ; Imlahi, Abdelouahid
Published in:	Statistics & Decisions. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 23.2005, 2, p. 101-115
Publisher:	Oldenbourg Wissenschaftsverlag GmbH
Subject:	estimation \| k n -records \| regular variation \| consistency \| asymptotic normality \| optimality

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Type of publication:	Article
Language:	Undetermined
Other identifiers:	10.1524/stnd.2005.23.2.101 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014621301