Estimating an endpoint with high-order moments
AbstractWe present a new method for estimating the endpoint of a unidimensional sample when the distribution function decreases at a polynomial rate to zero in the neighborhood of the endpoint. The estimator is based on the use of high-order moments of the variable of interest. It is assumed that the order of the moments goes to infinity, and we give conditions on its rate of divergence to get the asymptotic normality of the estimator. The good performance of the estimator is illustrated on some finite sample situations. Copyright Sociedad de Estadística e Investigación Operativa 2012
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Bibliographic InfoArticle provided by Springer in its journal TEST.
Volume (Year): 21 (2012)
Issue (Month): 4 (December)
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Web page: http://www.springerlink.com/link.asp?id=120411
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- Einmahl, J. & Dekkers, A. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Open Access publications from Tilburg University urn:nbn:nl:ui:12-125712, Tilburg University.
- Peter Hall & Julian Z. Wang, 2005. "Bayesian likelihood methods for estimating the end point of a distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 717-729.
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