Estimators of the extreme-value index are based on a set of upper order statistics. When the number of upper-order statistics used in the estimation of the extreme-value index is small, the variance of the estimator will be large. On the other hand, the use of a large number of upper statistics...

In this paper we shall give an alternative derivation of the coefficient of tail dependence introduced by Ledford and Tawn [1996, Biometrika 83, 169-187] and propose a consistent estimator, which is asymptotically normal.

An estimator is proposed for the index a of a stable distribution (0 # [alpha] [less-than-or-equals, slant] 2) and the asymmetry parameter p (0 [less-than-or-equals, slant] p [less-than-or-equals, slant] 1) based on a sample from a probability distribution in the domain of attraction of the...