Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review

Zoi Tsourti and John Panaretos

MPRA Paper from University Library of Munich, Germany

Abstract: Extreme-value theory and corresponding analysis is an issue extensively applied in many different fields. The central point of this theory is the estimation of a parameter γ, known as the extreme-value index. In this paper we review several extreme-value index estimators, ranging from the oldest ones to the most recent developments. Moreover, some smoothing and robustifying procedures of these estimators are presented.

Keywords: Extreme value index; Semi-parametric estimation; Smoothing modification (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

Published in STOCHASTIC MUSINGS: PERSPECTIVES FROM THE PIONEERS OF THE LATE 20TH CENTURY, J. Panaretos, ed., Laurence Erlbaum, Publisher, USA (2003): pp. 141-160

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:6390

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