Generalized Pickands estimators for the extreme value index
نویسندگان
چکیده
منابع مشابه
Generalized Pickands estimators for the extreme value index
The Pickands estimator for the extreme value index is generalized in a way that includes all of its previously known variants. A detailed study of the asymptotic behavior of the estimators in the family serves to determine its optimally performing members. These are given by simple, explicit formulas, have the same asymptotic variance as the maximum likelihood estimator in the generalized Paret...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2005
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2003.11.004