You are here: Home :: Area NEM :: Mathematics :: Stochastics :: Statistics

Mohamed El Arrouchi, Abdelouahid Imlahi

Optimal choice of k_n-records in the extreme value index estimation

Keywords: estimation, kn-records, regular variation, consistency, asymptotic normality

We propose an estimate for the index of extreme value distribution which based on k_n-record values and show its consistency and asymptotic normality. The problem of specifying the optimal value of k = k_n involved in our estimator is investigated. Some simulation results are also presented in order to illustrate the practical validation of asymptotic results for finite samples.

Statistics & Decisions, Oldenbourg Wissenschaftsverlag

Print ISSN: 0721-2631
Volume: 23, 02/2005
Pages: 101 - 115

Show full article (external site)

Show all available items of this journal

 

Area NEM