Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review

Tsourti, Zoi; Panaretos, John

Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review

STOCHASTIC MUSINGS: PERSPECTIVES FROM THE PIONEERS OF THE LATE 20TH CENTURY, J. Panaretos, ed., Laurence Erlbaum, Publisher, USA, pp. 141-160, 2003

19 Pages Posted: 26 Nov 2006

See all articles by Zoi Tsourti

Zoi Tsourti

Athens University of Economics and Business

John Panaretos

Athens University of Economics and Business

Abstract

Extreme-value theory and corresponding analysis is an issue extensively applied in many different fields. The central point of this theory is the estimation of a parameter γ, known as the extreme-value index. In this paper we review several extreme-value index estimators, ranging from the oldest ones to the most recent developments. Moreover, some smoothing and robustifying procedures of these estimators are presented.

Keywords: Extreme value index, Semi-parametric estimation, Smoothing modification

Suggested Citation: Suggested Citation

Tsourti, Zoi and Panaretos, John, Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review. STOCHASTIC MUSINGS: PERSPECTIVES FROM THE PIONEERS OF THE LATE 20TH CENTURY, J. Panaretos, ed., Laurence Erlbaum, Publisher, USA, pp. 141-160, 2003, Available at SSRN: https://ssrn.com/abstract=947065