| A New Location Invariant Moment-Type Estimator and Its Asymptotic Normality |
| Received:March 16, 2017 Revised:March 01, 2018 |
| Key Words:
extreme value index moment-type estimator regular variation location invariant asymptotic normality
|
| Fund Project:Supported by the National Social Science Foundation of China (Grant No.15BJY164). |
|
| Hits: 1713 |
| Download times: 1452 |
| Abstract: |
| The moment estimator has been widely used in extreme value theory in order to estimate the extreme value index, however it is not location invariant. In this paper, based on the moment-type estimator, we propose a new location invariant moment-type estimator, and discuss its asymptotic normality under the second order regular variation. Finally, a simulation is presented to compare this new estimator with another location invariant moment-type estimator $\hat{\gamma}_{n}^{M}(k_{0},k)$ proposed by Ling, which indicates that the new estimator has good performances. |
| Citation: |
| DOI:10.3770/j.issn:2095-2651.2018.03.008 |
| View Full Text View/Add Comment |
|
|
|
