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

الأصل · EN

In this paper we continue the investigation of the SRCEN estimator of the extreme value index γ (or the tail index α=1/γ) proposed in MCE 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. Also, a short discussion on the comparison of the estimators is included.