Title: Extended Extreme Value Models and Adaptive Estimation of the Tail Index
Abstract: Classical extreme value models are families of limit distributions of sample maxima. Now, consider expansions of length two where limit distributions are the leading terms. Such expansions define extended extreme value models. We will study the asymptotic performance of an adaptive estimator of the scale parameter α in an extended Gumbel model, thus also getting an estimator of the tail index 1/α in a model of Pareto type distributions. Under the present conditions the new estimator is asymptotically superior to those given in literature.
Publication Year: 1989
Publication Date: 1989-01-01
Language: en
Type: book-chapter
Indexed In: ['crossref']
Access and Citation
Cited By Count: 5
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot