Weighted least squares estimation of the extreme value index

Jürg Hüsler*, Deyuan Li, Samuel Müller

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)


In this paper we present the weighted least squares estimator for the extreme value index, and prove its consistency and asymptotic normality.

Original languageEnglish
Pages (from-to)920-930
Number of pages11
JournalStatistics and Probability Letters
Issue number9
Publication statusPublished - 1 May 2006
Externally publishedYes


  • Extreme value index
  • Least squares estimator
  • Hill estimator


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