Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 1997-10-01
Number: 97-099/4
Author-Name: Laurens F.M. de Haan
Author-Name: Liang Peng
Author-Workplace-Name: Erasmus University Rotterdam
Author-Name: T.T. Pereira
Author-Workplace-Name: University of Lisbon
Title: A Bootstrap-based Method to Achieve Optimality in Estimating the Extreme-value Index
Abstract: Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved case of regularlyvarying tails (Drees and Kaufmann (1997); Danielsson et al.(1997)). The present paper follows the line ofproof of the last paper.
File-Url: https://papers.tinbergen.nl/97099.pdf
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Handle: RePEc:tin:wpaper:19970099