Mean-of-Order-p Location-Invariant Extreme Value Index Estimation
A simple generalisation of the classical Hill estimator of a positive extreme value index (EVI) has been recently introduced in the literature. Indeed, the Hill estimator can be regarded as the logarithm of the mean of order p = 0 of a certain set of statistics. Instead of such a geometric mean, we...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2016-06-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/190 |