Kernel estimators for the second order parameter in extreme value statistics KU Leuven
We develop and study in the framework of Pareto-type distributions a general class of kernel estimators for the second order parameter rho, a parameter related to the rate of convergence of a sequence of linearly normalized maximum values towards its limit. Inspired by the kernel goodness-of-fit statistics introduced in Goegebeur et al. (2008), for which the mean of the normal limiting distribution is a function of rho, we construct estimators ...