Asymptotic comparison of the mixed moment and classical extreme value index estimators
A new promising extreme value index estimator, the mixed-moment (MM) estimator, has been recently introduced in the literature. This estimator uses not only the first moment of the top excesses of the log-observations in the sample, the basis of the classical Hill and moment estimators, but also the...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2008
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| Texto completo: | http://hdl.handle.net/10773/6548 |
| País: | Portugal |
| Oai: | oai:ria.ua.pt:10773/6548 |