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Optimal rates of convergence for estimates of the extreme value index

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References

1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
1987Estimating Tails of Probability Distributions627 cited
2007Statistical Analysis of Extreme Values523 cited
1985Kernel Estimates of the Tail Index of a Distribution283 cited
1997Statistical Analysis of Extreme Values275 cited
1984Loss Distributions245 cited
1996Practical analysis of extreme values214 cited
1998On Smooth Statistical Tail Functionals145 cited
1993Optimal Choice of Sample Fraction in Extreme-Value Estimation104 cited
1995Refined Pickands estimators of the extreme value index81 cited
1991Optimal choice of sample fraction in extreme-value estimation79 cited
1998A general class of estimators of the extreme value index63 cited

Cited by

2010The tail empirical process for long memory stochastic volatility sequences40 cited
2004Semiparametric lower bounds for tail index estimation37 cited

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