Tao Bao. A Location Invariant Pickands-Type Estimator[J]. Chinese Journal of Applied Probability and Statistics, 2009, 25(5): 449-460.
Citation: Tao Bao. A Location Invariant Pickands-Type Estimator[J]. Chinese Journal of Applied Probability and Statistics, 2009, 25(5): 449-460.
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A Location Invariant Pickands-Type Estimator

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  • In this paper, the author proposes a location invariant Pickands-type estimator as the extreme index is positive. Its weak and strong convergence are proved. Asymptotical representation and strong convergence rate are derived, and the optimal choice of k_2 is found. At last simulation and comparison of this new kind of Pickands-type estimator with other known Pickands-type estimators are considered by using the adaptive algorithm.
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