A class of weighted Hill estimators

Research output: Contribution to journalArticlepeer-review

Abstract

In Statistics of Extremes, the estimation of the extreme value index is an essential requirement for further tail inference. In this work, we deal with the estimation of a strictly positive extreme value index from a model with a Pareto-type right tail. Under this framework, we propose a new class of weighted Hill estimators, parameterized with a tuning parameter a. We derive their non-degenerate asymptotic behavior and analyze the influence of the tuning parameter in such result. Their finite sample performance is analyzed through a Monte Carlo simulation study. A comparison with other important extreme value index estimators from the literature is also provided.

Original languageEnglish
Article numbere1167
JournalComputational and Mathematical Methods
Volume3
Issue number6
DOIs
Publication statusPublished - Nov 2021

Fingerprint

Dive into the research topics of 'A class of weighted Hill estimators'. Together they form a unique fingerprint.

Cite this