Abstract
In this paper, a new kind of location invariant Weiss-Hill estimator of the extreme value index γ ∈ ℝ is proposed. The new estimator is a combination of two estimators proposed by Weiss (Nav Res Logist Q 1:111–114, 1971) and Fraga Alves (Extremes 4:199–217, 2001a). The following properties of the new estimator are derived: weak consistency, strong consistency, and asymptotic expansions. A bias corrected version of the proposed estimator is given after determining an optimal sample fraction. Some finite simulation studies are performed.
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Ling, C., Peng, Z. & Nadarajah, S. Location invariant Weiss-Hill estimator. Extremes 15, 197–230 (2012). https://doi.org/10.1007/s10687-011-0134-x
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DOI: https://doi.org/10.1007/s10687-011-0134-x