Optimal Choice of Sample Fraction in Extreme-Value Estimation

• Published in: Journal of multivariate analysis Vol. 47; no. 2; pp. 173 - 195
• Main Authors: Dekkers, A.L.M., Dehaan, L.
• Format: Journal Article
• Language: English
• Published: San Diego, CA Elsevier Inc 01.11.1993; Elsevier
• Series: Journal of Multivariate Analysis
• Subjects: Distribution theory; Exact sciences and technology; Mathematics; Probability and statistics; Sciences and techniques of general use; Statistics; Order statistic; Regular variation; Asymptotic normality; Extreme value; Moment method; Mean square error

We study the asymptotic bias of the moment estimator γ̂n for the extreme-value index γ ∈ R under quite natural and general conditions on the underlying distribution function. Furthermore the optimal choice for the sample franction in estimating γ is considered by minimizing the mean squared error of...