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Persistent link: https://www.econbiz.de/10001722196
Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved...
Persistent link: https://www.econbiz.de/10010342310