Studying the extreme value theory (EVT) involves multiple main objectives, among them the estimation of the tail index parameter. Some estimation methods are used to estimate the tail index parameter like maximum likelihood estimation (MLE). Additionally, the Hill estimator is one type of...

We analyze a large panel of units grouped by shared extreme value indices (EVIs) and aim to identify these unknown groups. To achieve this, we order the Hill estimates of individual EVIs and segment them by minimizing the total squared distance between each estimate and its corresponding group...