Mathematics (Oct 2020)

Extreme Value Index Estimation by Means of an Inequality Curve

  • Emanuele Taufer,
  • Flavio Santi,
  • Pier Luigi Novi Inverardi,
  • Giuseppe Espa,
  • Maria Michela Dickson

DOI
https://doi.org/10.3390/math8101834
Journal volume & issue
Vol. 8, no. 10
p. 1834

Abstract

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A characterizing property of Zenga (1984) inequality curve is exploited in order to develop an estimator for the extreme value index of a distribution with regularly varying tail. The approach proposed here has a nice graphical interpretation which provides a powerful method for the analysis of the tail of a distribution. The properties of the proposed estimation strategy are analysed theoretically and by means of simulations. The usefulness of the method will be tested also on real data sets.

Keywords