A class of partially reduced-bias estimators of a positive extreme value index (EVI), related to a mean-of-order-p class of EVI-estimators, is introduced and studied both asymptotically and for finite samples through a Monte-Carlo simulation study. A comparison between this class and a...

For heavy tails, with a positive tail index [gamma], classical tail index estimators, like the Hill estimator, are known to be quite sensitive to the number of top order statistics k used in the estimation, whereas second-order reduced-bias estimators show much less sensitivity to changes in k....

In this paper, and in the context of regularly varying tails, we analyse some variants of a maximum likelihood estimator of a positive tail index [gamma], under a type II censoring scheme. These estimators are compared with the Hill estimator, for a Fréchet model and by means of a Monte Carlo...