, Volume 21, Issue 2, pp 330–354 | Cite as

Estimation of the third-order parameter in extreme value statistics

  • Yuri GoegebeurEmail author
  • Tertius de Wet
Original Paper


We introduce a class of estimators for the third-order parameter in extreme value statistics when the distribution function underlying the data is heavy tailed. For appropriately chosen intermediate sequences of upper order statistics, consistency is established under the third-order tail condition and asymptotic normality under the fourth-order tail condition. Simulation experiments illustrate the finite sample behavior of some selected estimators.


Pareto-type distribution Third-order parameter Fourth-order condition 

Mathematics Subject Classification (2000)

62G20 62G30 62G32 


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Copyright information

© Sociedad de Estadística e Investigación Operativa 2011

Authors and Affiliations

  1. 1.Department of Mathematics and Computer ScienceUniversity of Southern DenmarkOdense MDenmark
  2. 2.Department of Statistics and Actuarial ScienceUniversity of StellenboschMatielandSouth Africa

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