Abstract
We extend Hill's well-known estimator for the index of a distribution function with regularly varying tail to an estimate for the index of an extreme-value distribution. Consistency and asymptotic normality are proved. The estimator is used for high quantile and endpoint estimation.
Citation
A. L. M. Dekkers. J. H. J. Einmahl. L. De Haan. "A Moment Estimator for the Index of an Extreme-Value Distribution." Ann. Statist. 17 (4) 1833 - 1855, December, 1989. https://doi.org/10.1214/aos/1176347397
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