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Improved Estimation of the Extreme Value Index Using Related Variables

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  • Ahmed, Hanan

    (Tilburg University, Center For Economic Research)

  • Einmahl, John

    (Tilburg University, Center For Economic Research)

Abstract

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Suggested Citation

  • Ahmed, Hanan & Einmahl, John, 2018. "Improved Estimation of the Extreme Value Index Using Related Variables," Discussion Paper 2018-025, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:78738894-06ad-409e-ba03-531c3308e118
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    References listed on IDEAS

    as
    1. Drees, Holger & Huang, Xin, 1998. "Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function," Journal of Multivariate Analysis, Elsevier, vol. 64(1), pages 25-47, January.
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    More about this item

    Keywords

    asymptotic normality; heavy tail; Hill estimator; tail dependence; variance reduction;
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