Tsourti, Zoi and Panaretos, John (2003): Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review. 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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Abstract
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.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review |
| Language: | English |
| Keywords: | Extreme value index, Semi-parametric estimation, Smoothing modification |
| Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General |
| Item ID: | 6390 |
| Depositing User: | J Panaretos |
| Date Deposited: | 20 Dec 2007 11:49 |
| Last Modified: | 08 Oct 2019 16:48 |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/6390 |
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