Kernel-Type Estimators for the Extreme Value Index

@inproceedings{Groeneboom2007KernelTypeEF,
  title={Kernel-Type Estimators for the Extreme Value Index},
  author={Piet Hendrickx Groeneboom and Hendrik P. Lopuha{\"a} and P. P. de Wolf},
  year={2007}
}
A large part of the theory of extreme value index estimation is developed for positive extreme value indices. The best known estimator for that case is the Hill estimator. This estimator can be considered to be either a moment estimator or a (quasi) maximum likelihood estimator and was generalized to a kernel-type estimator, still only valid for positive extreme value indices. The Hill estimator has been extended to a momenttype estimator valid for all extreme value indices. Also the quasi… CONTINUE READING