Title: Estimation of the extreme-value index and generalized quantile plots
Authors: Beirlant, Jan ×
Dierckx, Goedele
Guillou, A #
Issue Date: 2005
Publisher: Int statistical inst
Series Title: Bernoulli vol:11 issue:6 pages:949-970
Abstract: In extreme-value analysis, a central topic is the adaptive estimation of the extreme-value index gamma. Hitherto, most of the attention in this area has been devoted to the case gamma > 0, that is, when F is a regularly varying function with index -1/gamma. In addition to the well-known Hill estimator, many other estimators are currently available. Among the most important are the kemel-type estimators and the weighted least-squares slope estimators based on the Pareto quantile plot or the Zipf plot, as reviewed by Csorgo and Viharos. Using an exponential regression model (ERM) for spacings between successive extreme order statistics, both Beirlant et al. and Feuerverger and Hall introduced bias-reduced estimators.
ISSN: 1350-7265
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Statistics Section
Faculty of Economics and Business (FEB) - miscellaneous
Research Centre for Mathematical Economics, Econometrics and Statistics, Campus Brussels (-)
× corresponding author
# (joint) last author

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