Extreme Value Index Estimation by Means of an Inequality Curve

Emanuele Taufer, Flavio Santi (), Pier Luigi Novi Inverardi, Giuseppe Espa and Maria Michela Dickson
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Emanuele Taufer: Department of Economics and Management, University of Trento, 38122 Trento, Italy
Pier Luigi Novi Inverardi: Department of Economics and Management, University of Trento, 38122 Trento, Italy
Giuseppe Espa: Department of Economics and Management, University of Trento, 38122 Trento, Italy
Maria Michela Dickson: Department of Economics and Management, University of Trento, 38122 Trento, Italy

Mathematics, 2020, vol. 8, issue 10, 1-17

Abstract: A characterizing property of Zenga (1984) inequality curve is exploited in order to develop an estimator for the extreme value index of a distribution with regularly varying tail. The approach proposed here has a nice graphical interpretation which provides a powerful method for the analysis of the tail of a distribution. The properties of the proposed estimation strategy are analysed theoretically and by means of simulations. The usefulness of the method will be tested also on real data sets.

Keywords: extreme value index; inequality curve; non-parametric estimation; bootstrap; regularly varying tail (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2020
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