Selecting the optimal sample fraction in univariate extreme value estimation
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References listed on IDEAS
- 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.
- Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February.
More about this item
KeywordsAdaptive estimation Asymptotic efficiency Extreme value index Hill estimator Optimal sample fraction Order statistics Sequential procedure;
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