Extreme Value Index Estimators and Smoothing Alternatives: Review and Simulation Comparison

Athens University of Economics and Business, Statistics Technical Report No. 149

25 Pages Posted: 28 Nov 2006

See all articles by Zoi Tsourti

Zoi Tsourti

Athens University of Economics and Business

John Panaretos

Athens University of Economics and Business

Date Written: July 2001

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 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. A simulation study is conducted in order to compare the behaviour of the estimators and their smoothed alternatives. Maybe, the most prominent result of this study is that no uniformly best estimator exists and that the behaviour of estimators depends on the value of the parameter γ itself.

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

Suggested Citation

Tsourti, Zoi and Panaretos, John, Extreme Value Index Estimators and Smoothing Alternatives: Review and Simulation Comparison (July 2001). Athens University of Economics and Business, Statistics Technical Report No. 149, Available at SSRN: https://ssrn.com/abstract=947440 or http://dx.doi.org/10.2139/ssrn.947440

Zoi Tsourti

Athens University of Economics and Business ( email )

76 Patission Street
Athens, 104 34
Greece

John Panaretos (Contact Author)

Athens University of Economics and Business ( email )

29 Ithakis Str.
Athens, 11257
Greece

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