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Optimal choice of kn-records in the extreme value index estimation

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  • El Arrouchi Mohamed
  • Imlahi Abdelouahid

Abstract

We propose an estimate for the index of extreme value distribution which based on kn-record values and show its consistency and asymptotic normality. The problem of specifying the optimal value of k = kn involved in our estimator is investigated. Some simulation results are also presented in order to illustrate the practical validation of asymptotic results for finite samples.

Suggested Citation

  • El Arrouchi Mohamed & Imlahi Abdelouahid, 2005. "Optimal choice of kn-records in the extreme value index estimation," Statistics & Risk Modeling, De Gruyter, vol. 23(2), pages 101-115, February.
    • Handle: RePEc:bpj:strimo:v:23:y:2005:i:2/2005:p:101-115:n:1
    DOI: 10.1524/stnd.2005.23.2.101
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    References listed on IDEAS

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    1. Dekkers, A. L. M. & Dehaan, L., 1993. "Optimal Choice of Sample Fraction in Extreme-Value Estimation," Journal of Multivariate Analysis, Elsevier, vol. 47(2), pages 173-195, November.
    2. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
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