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A local moment type estimator for the extreme value index in regression with random covariates |
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| Authors: | Yuri Goegebeur Armelle Guillou Michael Osmann |
| Affiliation: | 1. Department of Mathematics and Computer Science, University of Southern Denmark, Campusvej 55, Odense M, Denmark;2. Institut Recherche Mathématique Avancée, UMR 7501, Université de Strasbourg et CNRS, 7 rue René Descartes, Strasbourg Cedex, France |
| Abstract: | |
| Keywords: | Extreme value index Local estimation max‐domain of attraction second‐order condition MSC 2010: Primary 62G32 secondary 62G05 |