Asymptotically unbiased estimators for the extreme-value index

L. Peng

Statistics & Probability Letters, 1998, vol. 38, issue 2, 107-115

Abstract: Estimators of the extreme-value index are based on a set of upper order statistics. When the number of upper-order statistics used in the estimation of the extreme-value index is small, the variance of the estimator will be large. On the other hand, the use of a large number of upper statistics will introduce a big bias. There are several papers concerning how to balance the variance component and the bias component. In this paper, we give an unbiased estimator even if one uses a large number of upper-order statistics.

Keywords: Extreme-value; index; Hill; estimator; Pickands'; estimator (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (17)

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