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arXiv · 1710.03084

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

Natalia Markovich·Marijus Vaičiulis
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Abstract

In this paper we continue the investigation of the SRCEN estimator of the extreme value index $\gamma$ (or the tail index $\alpha=1/\gamma$) proposed in \cite{MCE} for $\gamma>1/2$. We propose a new estimator based on the local maximum. This, in fact, is a modification of the SRCEN estimator to the case $\gamma>0$. 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.

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Natalia Markovich, Marijus Vaičiulis. 2017-10-09. Modification of Moment-Based Tail Index Estimator: Sums versus Maxima. https://arxiv.org/abs/1710.03084

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