An asymptotically unbiased moment estimator of a negative extreme value index
Frederico Caeiro, M. Ivette Gomes (2010)
Discussiones Mathematicae Probability and Statistics
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In this paper we consider a new class of consistent semi-parametric estimators of a negative extreme value index, based on the set of the k largest observations. This class of estimators depends on a control or tuning parameter, which enables us to have access to an estimator with a null second-order component of asymptotic bias, and with a rather interesting mean squared error, as a function of k. We study the consistency and asymptotic normality of the proposed estimators. Their finite...