A class of partially reduced-bias estimators of a positive extreme value index (EVI), related to a mean-of-order-p class of EVI-estimators, is introduced and studied both asymptotically and for finite samples through a Monte-Carlo simulation study. A comparison between this class and a...

For heavy tails, with a positive tail index [gamma], classical tail index estimators, like the Hill estimator, are known to be quite sensitive to the number of top order statistics k used in the estimation, whereas second-order reduced-bias estimators show much less sensitivity to changes in k....

We are interested in the derivation of the distributional properties of a weighted log-excesses estimator of a positive tail index "&ggr;". One of the main objectives of such an estimator is the accommodation of the dominant component of asymptotic bias, together with the maintenance of the...

A new promising extreme value index estimator, the mixed-moment (MM) estimator, has been recently introduced in the literature. This estimator uses not only the first moment of the top excesses of the log-observations in the sample, the basis of the classical Hill and moment estimators, but also...