Modification of Moment-Based Tail Index Estimator: Sums versus Maxima

2017/10/09 by Markovich, Natalia, Vaičiulis, Marijus
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1710.03084

Abstract

In this paper we continue the investigation of the SRCEN estimator of the extreme value index γ (or the tail index α=1/γ) proposed in \citeMCE for γ>1/2. We propose a new estimator based on the local maximum. This, in fact, is a modification of the SRCEN estimator to the case γ>0. We establish the consistency and asymptotic normality of the newly proposed estimator for i.i.d. data. Also, a short discussion on the comparison of the estimators is included.

Related

• Once more on comparison of tail index estimators
• Subsampling Extremes: From Block Maxima to Smooth Tail Estimation
• Regression estimator for the tail index
• On maximum likelihood estimation of the extreme value index
• Maximum likelihood estimators based on the block maxima method