Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review
AbstractExtreme-value theory and corresponding analysis is an issue extensively applied in many different fields. The central point of this theory is the estimation of a parameter γ, known as the extreme-value index. In this paper we review several extreme-value index estimators, ranging from the oldest ones to the most recent developments. Moreover, some smoothing and robustifying procedures of these estimators are presented.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 6390.
Date of creation: 2003
Date of revision:
Extreme value index; Semi-parametric estimation; Smoothing modification;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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