Double-thresholded estimator of extreme
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Laurent Gardes
📂
Article
📅
2003
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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