Estimation of the third-order parameter in extreme value statistics

被引：0

作者：

Yuri Goegebeur

Tertius de Wet

机构：

[1] University of Southern Denmark,Department of Mathematics and Computer Science

[2] University of Stellenbosch,Department of Statistics and Actuarial Science

来源：

TEST | 2012年 / 21卷

关键词：

Pareto-type distribution; Third-order parameter; Fourth-order condition; 62G20; 62G30; 62G32;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We introduce a class of estimators for the third-order parameter in extreme value statistics when the distribution function underlying the data is heavy tailed. For appropriately chosen intermediate sequences of upper order statistics, consistency is established under the third-order tail condition and asymptotic normality under the fourth-order tail condition. Simulation experiments illustrate the finite sample behavior of some selected estimators.

引用

页码：330 / 354

页数：24

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