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The Latest Advances on the Hill Estimator and Its Modifications

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Topics in Nonparametric Statistics

Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 74))

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Abstract

Recent developments on the Hill and related estimators of the extreme value index are provided. We also discuss their properties, like mean square error, efficiency and robustness. We further discuss the introduction of underlying score functions related to modified Hill estimators.

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Acknowledgements

M. Ivette Gomes has been partially supported by National Funds through FCT—Fundação para a Ciência e a Tecnologia, projects PEst-OE/MAT/UI0006/2011 (CEAUL) and EXTREMA (PTDC/MAT/101736/2008).

Author information

Authors and Affiliations

  1. Centro de Estatística e Aplicações, Faculdade de Ciências, Universidade de Lisboa, Lisbon, Portugal

    M. Ivette Gomes

  2. Department of Applied Statistics, Johannes Kepler University, Linz, Austria

    Milan Stehlík

  3. Departamento de Matemática, Universidad Técnica Federico Santa María, Casilla 110-V, Valparaíso, Chile

    Milan Stehlík

Authors
  1. M. Ivette Gomes
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  2. Milan Stehlík
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Correspondence to M. Ivette Gomes .

Editor information

Editors and Affiliations

  1. Department of Statistics, The Pennsylvania State University, University Park, Pennsylvania, USA

    Michael G. Akritas

  2. Department of Statistics, North Carolina State University, Raleigh, North Carolina, USA

    S. N. Lahiri

  3. Department of Mathematics, University of California, San Diego, California, USA

    Dimitris N. Politis

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Gomes, M.I., Stehlík, M. (2014). The Latest Advances on the Hill Estimator and Its Modifications. In: Akritas, M., Lahiri, S., Politis, D. (eds) Topics in Nonparametric Statistics. Springer Proceedings in Mathematics & Statistics, vol 74. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-0569-0_29

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