Abstract
In this article we are interested in the semi‐parametric estimation of the extreme value index, one of the most important parameters in statistics of extremes. Under a general third order condition, we study the asymptotic distributional properties of a reduced‐bias extreme value index estimator, based on the scaled log‐spacings of the largest observations.
Original language | Unknown |
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Title of host publication | AIP Conference Proceedings |
Pages | 1467-1470 |
Volume | 1389 |
DOIs | |
Publication status | Published - 1 Jan 2011 |
Event | Numerical Analysis and Applied Mathematics ICNAAM 2011 - Duration: 1 Jan 2011 → … |
Conference
Conference | Numerical Analysis and Applied Mathematics ICNAAM 2011 |
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Period | 1/01/11 → … |