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Details for article 2 of 15 found articles
| Title: |
Comparison of estimation methods in extreme value theory |
| Author: |
Rosen, Ori Weissman, Ishay |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 25 (1996) nr. 4 pages 759-773 |
| Year: |
1996 |
| Contents: |
In this study we compare three estimators of the extreme value index: Pickands estimator, the moment estimator and a maximum likelihood estimator. The estimators are explored both theoretically and by Monte Carlo simulation. We obtain two estimators for large quantiles using Pickands and the maximum likelihood estimators. The latter and one based on the moment estimator are then compared through simulation. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 2 of 15 found articles
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