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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국통계학회 JKSS(Journal of the Korean Statistical Society) Journal of the Korean Statistical Society 제31권 제3호
- 발행연도
- 2002.1
- 수록면
- 315 - 328 (14page)
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초록· 키워드
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As an extension of the well-known Pickands (1975) estimate. for the extreme value index, Yun (2002) introduced a generalized Pickands estimator. This paper searches for a minimax estimator in the sense of minimizing the maximum asymptotic relative efficiency of the Pickands estimator with respect to the generalized one. To reduce the asymptotic variance of the resulting estimator, convex combinations of the minimax estimator are also considered and their asymptotic normality is established. Finally, the optimal combination is determined and proves to be superior to the generalized Pickands estimator.
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