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An asymptotically unbiased moment estimator of a negative extreme value index

100%

Caeiro F., Gomes M.

Discussiones Mathematicae Probability and Statistics

2010

tom 30

nr 1

5-19

In this paper we consider a new class of consistent semi-parametric estimators of a negative extreme value index, based on the set of the k largest observations. This class of estimators depends on a control or tuning parameter, which enables us to have access to an estimator with a null second-order component of asymptotic bias, and with a rather interesting mean squared error, as a function of k. We study the consistency and asymptotic normality of the proposed estimators. Their finite sample behaviour is obtained through Monte Carlo simulation.

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1 Discussiones Mathematicae Probability and Statistics

1 Caeiro F.

1 Gomes M.

1 2010

Wyniki wyszukiwania

An asymptotically unbiased moment estimator of a negative extreme value index