Semi-parametric estimation for heavy tailed distributions

Gabriela Ciuperca (1) , Cécile Mercadier (1)

1 PSPM - Probabilités, statistique, physique mathématique

In this paper, we generalize several works in the extreme value theory for the estimation of the extreme value index and the second order parameter. Weak consistency and asymptotic normality are proven under classical assumptions. Some numerical simulations and computations are also performed to illustrate the finite-sample and the limiting behavior of the estimators.

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Gabriela Ciuperca, Cécile Mercadier. Semi-parametric estimation for heavy tailed distributions. Extremes, 2010, 13 (1), pp.55-87. ⟨10.1007/s10687-009-0086-6⟩. ⟨hal-00292587⟩