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Modification of Moment-Based Tail Index Estimator: Sums Versus Maxima

  • N. Markovich
  • M. Vaičiulis
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 250)

Abstract

In this contribution, we continue the investigation of the SRCEN estimator of the extreme-value index γ (or the tail index α = 1∕γ) proposed in McElroy and Politis (J Statist Plan Infer 137:1389–1406, 2007) for γ > 1∕2. We propose a new estimator based on the local maximum. This, in fact, is a modification of the SRCEN estimator to the case γ > 0. We establish the consistency and asymptotic normality of the newly proposed estimator for i.i.d. data. Additionally, a short discussion on the comparison of the estimators is included.

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  • N. Markovich
    • 1
  • M. Vaičiulis
    • 2
  1. 1.V.A. Trapeznikov Institute of Control Sciences of Russian Academy of SciencesMoscowRussia
  2. 2.Institute of Mathematics and InformaticsVilnius UniversityVilniusLithuania

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