A Moment Estimator for the Index of an Extreme-Value Distribution
Work
Year: 1989
Type: article
Abstract: We extend Hill's well-known estimator for the index of a distribution function with regularly varying tail to an estimate for the index of an extreme-value distribution. Consistency and asymptotic nor... more
Source: The Annals of Statistics
Cites:
Cited by: 705
Related to: 10
FWCI: 1.607
Citation percentile (by year/subfield): 97
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: bronze