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Properties of Hill’s estimator of extreme value index for impure samples

✍ Scribed by Rodionov, I. V.


Book ID
125406952
Publisher
Allerton Press Inc
Year
2014
Tongue
English
Weight
326 KB
Volume
69
Category
Article
ISSN
0027-1322

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Double-thresholded estimator of extreme
✍ Laurent Gardes 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 112 KB

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