Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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On Efficient Estimation of the Extreme Value Index with Good Finite-Sample Performance

  • Yun, Seokhoon (Department of Applied Statistics, University of Suwon)
  • Published : 1999.03.01
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Abstract

Falk(1994) showed that the asymptotic efficiency of the Pickands estimator of the extreme value index $\beta$ can considerably be improved by a simple convex combination. In this paper we propose an alternative estimator of $\beta$ which is as asymptotically efficient as the optimal convex combination of the Pickands estimators but has a better finite-sample performance. We prove consistency and asymptotic normality of the proposed estimator. Monte Carlo simulations are conducted to compare the finite-sample performances of the proposed estimator and the optimal convex combination estimator.

Keywords

References

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