Weighted least squares estimation of the extreme value index

In this paper we present the weighted least squares estimator for the extreme value index, and prove its consistency and asymptotic normality.

Year of publication:	2006
Authors:	Hüsler, Jürg ; Li, Deyuan ; Müller, Samuel
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 9, p. 920-930
Publisher:	Elsevier
Keywords:	Extreme value index Least squares estimator Hill estimator

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223673