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Asymptotically unbiased estimators for the extreme-value index

โœ Scribed by L. Peng

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
327 KB
Volume
38
Category
Article
ISSN
0167-7152

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โœฆ Synopsis

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 will introduce a big bias. There are several papers concerning how to balance the variance component and the bias component. In this paper, we give an unbiased estimator even if one uses a large number of upper-order statistics. (~

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