Modern Stochastics: Theory and Applications

In this paper, we introduce a family of semi-parametric estimators for the positive extreme value index γ, parameterized in two tuning parameters. The asymptotic normality of the introduced estimators is proved. It is shown that the partial case of newly introduced estimators (a subfamily with one tuning parameter) has quite good asymptotic properties and dominates several previously introduced estimators. Small Monte-Carlo simulations are included. Also, the performance of this parameterized subfamily of estimators is illustrated for pair exchange ratio data sets.