Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Minimax Choice and Convex Combinations of Generalized Pickands Estimator of the Extreme Value Index

  • Yun, Seokhoon (Department of Applied Statistics, University of Suwon)
  • Published : 2002.09.01
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Abstract

As an extension of the well-known Pickands (1975) estimate. for the extreme value index, Yun (2002) introduced a generalized Pickands estimator. This paper searches for a minimax estimator in the sense of minimizing the maximum asymptotic relative efficiency of the Pickands estimator with respect to the generalized one. To reduce the asymptotic variance of the resulting estimator, convex combinations of the minimax estimator are also considered and their asymptotic normality is established. Finally, the optimal combination is determined and proves to be superior to the generalized Pickands estimator.

Keywords

References

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