Weighted least squares estimation of the extreme value index

Jürg Hüsler; Deyuan Li; Samuel Müller

doi:10.1016/j.spl.2005.10.025

Weighted least squares estimation of the extreme value index

Jürg Hüsler^*, Deyuan Li, Samuel Müller

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

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

Original language	English
Pages (from-to)	920-930
Number of pages	11
Journal	Statistics and Probability Letters
Volume	76
Issue number	9
DOIs	https://doi.org/10.1016/j.spl.2005.10.025
Publication status	Published - 1 May 2006
Externally published	Yes

Keywords

Extreme value index
Least squares estimator
Hill estimator

Access to Document

10.1016/j.spl.2005.10.025

Cite this

@article{3832af2b11e84482be5f536a9529d6b0,

title = "Weighted least squares estimation of the extreme value index",

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

keywords = "Extreme value index, Least squares estimator, Hill estimator",

author = "J{\"u}rg H{\"u}sler and Deyuan Li and Samuel M{\"u}ller",

year = "2006",

month = may,

day = "1",

doi = "10.1016/j.spl.2005.10.025",

language = "English",

volume = "76",

pages = "920--930",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier",

number = "9",

}

TY - JOUR

T1 - Weighted least squares estimation of the extreme value index

AU - Hüsler, Jürg

AU - Li, Deyuan

AU - Müller, Samuel

PY - 2006/5/1

Y1 - 2006/5/1

N2 - In this paper we present the weighted least squares estimator for the extreme value index, and prove its consistency and asymptotic normality.

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

KW - Extreme value index

KW - Least squares estimator

KW - Hill estimator

UR - http://www.scopus.com/inward/record.url?scp=33645544150&partnerID=8YFLogxK

U2 - 10.1016/j.spl.2005.10.025

DO - 10.1016/j.spl.2005.10.025

M3 - Article

AN - SCOPUS:33645544150

SN - 0167-7152

VL - 76

SP - 920

EP - 930

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 9

ER -

Weighted least squares estimation of the extreme value index

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this