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Optimal choice of kn-records in the extreme value index estimation
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Mohamed El Arrouchi
Veröffentlicht/Copyright:
25. September 2009
Summary
We propose an estimate for the index of extreme value distribution which based on kn-record values and show its consistency and asymptotic normality. The problem of specifying the optimal value of k = kn involved in our estimator is investigated. Some simulation results are also presented in order to illustrate the practical validation of asymptotic results for finite samples.
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Published Online: 2009-09-25
Published in Print: 2005-02-01
© R. Oldenbourg Verlag, München
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Artikel in diesem Heft
- Absolutely continuous optimal martingale measures
- Optimal choice of kn-records in the extreme value index estimation
- On stationary multiplier methods for the rounding of probabilities and the limiting law of the Sainte-Laguë divergence
- Recursive random variables with subgaussian distributions
- Change in non-parametric regression with long memory errors
Schlagwörter für diesen Artikel
estimation;
kn-records;
regular variation;
consistency;
asymptotic normality;
optimality
Artikel in diesem Heft
- Absolutely continuous optimal martingale measures
- Optimal choice of kn-records in the extreme value index estimation
- On stationary multiplier methods for the rounding of probabilities and the limiting law of the Sainte-Laguë divergence
- Recursive random variables with subgaussian distributions
- Change in non-parametric regression with long memory errors
