Comparison of estimation methods in extreme value theory
- 1 January 1996
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 25 (4) , 759-773
- https://doi.org/10.1080/03610929608831730
Abstract
In this study we compare three estimators of the extreme value index: Pickands estimator, the moment estimator and a maximum likelihood estimator. The estimators are explored both theoretically and by Monte Carlo simulation. We obtain two estimators for large quantiles using Pickands and the maximum likelihood estimators. The latter and one based on the moment estimator are then compared through simulation.Keywords
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