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Double-thresholded estimator of extreme value index

✍ Scribed by Laurent Gardes

Publisher: Elsevier Science
Year: 2003
Tongue: English
Weight: 112 KB
Volume: 337
Category: Article
ISSN: 1631-073X
DOI: 10.1016/s1631-073x(03)00329-7

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✦ Synopsis

The purpose of this Note is to propose an estimator of the extreme value index constructed by using only the number of points exceeding random thresholds. We prove the weak consistency and the asymptotic normality of this estimator. We deduce from this last result that the rate of convergence of our estimator is in a power of the sample size. To our knowledge, this rate of convergence is not reached by any other estimate of the extreme value index. Through a simulation, we compare our estimator to the moment estimator (Dekkers et al.,

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