Weighted least squares estimation of the extreme value index

Jürg Hüsler, Deyuan Li and Samuel Müller

Statistics & Probability Letters, 2006, vol. 76, issue 9, 920-930

Abstract: In this paper we present the weighted least squares estimator for the extreme value index, and prove its consistency and asymptotic normality.

Keywords: Extreme; value; index; Least; squares; estimator; Hill; estimator (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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