Lehmer's mean-of-order-p extreme value index estimation: a simulation study and applications

Author:

Penalva Helena1,Gomes M. Ivette2,Caeiro Frederico3,Neves M. Manuela4

Affiliation:

1. Instituto Politécnico de Setúbal, and CEAUL, Universidade de Lisboa, Lisbon, Portugal

2. CEAUL and Faculdade de Ciências, Universidade de Lisboa, Lisbon, Portugal

3. CMA and Faculdade de Ciências e Tecnologia, Universidade Nova de Lisboa, Caparica, Portugal

4. Instituto Superior de Agronomia, and CEAUL, Universidade de Lisboa, Lisbon, Portugal

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference39 articles.

1. C.W. Anderson, Contributions to the asymptotic theory of extreme values, Ph.D. Thesis, University of London, 1971.

2. Statistics of Extremes

3. The harmonic moment tail index estimator: asymptotic distribution and robustness

4. A simple generalisation of the Hill estimator

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