Mixed Moment Estimator

Maria Isabel Fraga Alves, Maria Ivette Gomes, Laurens De Haan, Cláudia Neves
2006 unpublished
A new class of estimators of the extreme value index is developed. It has a simple form and is very close to the maximum likelihood estimator for a wide class of heavy-tailed models. We also propose an alternative class of estimators, dependent on a tuning parameter p ∈ (0, 1) and invariant for changes in both scale and/or location.
doi:10.13140/rg.2.2.35899.36643 fatcat:jrwqhx3wzfganbbib2zzrpgaq4