Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review
Extreme-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.
|Date of creation:||2003|
|Publication status:||Published in STOCHASTIC MUSINGS: PERSPECTIVES FROM THE PIONEERS OF THE LATE 20TH CENTURY, J. Panaretos, ed., Laurence Erlbaum, Publisher, USA (2003): pp. 141-160|
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Web page: https://mpra.ub.uni-muenchen.de
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