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Estimating the end-point of a probability distribution using minimum-distance methods

Hall, Peter; Wang, Jane-Ling

Description

A technique based on minimum distance, derived from a coefficient of determination and representable in terms of Greenwood's statistic, is used to derive an estimator of the end-point of a distribution. It is appropriate in cases where the actual sample size is very large and perhaps unknown. The minimum-distance estimator is compared with a competitor based on maximum likelihood and shown to enjoy lower asymptotic variance for a range of values of the extremal exponent. When only a small...[Show more]

CollectionsANU Research Publications
Date published: 1999
Type: Journal article
URI: http://hdl.handle.net/1885/91420
Source: Bernoulli

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