Abstract

In this paper, a new class of location-invariant semi-parametric estimators of a positive extreme value index $\gamma >0$ is proposed. Its asymptotic distributional representation and asymptotic normality are derived, and the optimal choice of the sample fraction by mean squared error is also discussed for some special cases. Finally comparison studies are provided for some familiar models by Monte Carlo simulations.

中文翻译：

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一类重尾分布的位置不变估计量

摘要

在本文中，一类新的正极值指数的位置不变半参数估计器$\gamma >0$被提议。推导了它的渐近分布表示和渐近正态性，并讨论了一些特殊情况下均方误差对样本分数的最优选择。最后通过蒙特卡罗模拟为一些熟悉的模型提供了比较研究。