Iterative Estimation of the Extreme Value Index

Samuel Müller () and Jürg Hüsler ()
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Samuel Müller: University of Bern
Jürg Hüsler: University of Bern

Methodology and Computing in Applied Probability, 2005, vol. 7, issue 2, 139-148

Abstract: Abstract Let {X n , n ≥ 1} be a sequence of independent random variables with common continuous distribution function F having finite and unknown upper endpoint. A new iterative estimation procedure for the extreme value index γ is proposed and one implemented iterative estimator is investigated in detail, which is asymptotically as good as the uniform minimum varianced unbiased estimator in an ideal model. Moreover, the superiority of the iterative estimator over its non iterated counterpart in the non asymptotic case is shown in a simulation study.

Keywords: extreme value theory; tail index estimation; iterative estimator (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s11009-005-1487-x

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