Optimal choice of kn-records in the extreme value index estimation

El Arrouchi Mohamed and Imlahi Abdelouahid

Statistics & Risk Modeling, 2005, vol. 23, issue 2, 101-115

Abstract: 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.

Keywords: estimation; kn-records; regular variation; consistency; asymptotic normality; optimality (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1524/stnd.2005.23.2.101 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:23:y:2005:i:2/2005:p:101-115:n:1

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/strm/html

DOI: 10.1524/stnd.2005.23.2.101

Access Statistics for this article

Statistics & Risk Modeling is currently edited by Robert Stelzer

More articles in Statistics & Risk Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().