A location invariant moment-type estimator II

Cheng Xiu Ling, Zuoxiang Peng, Saralees Nadarajah

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)


The moment estimator (Dekkers et al. (1989)) has been used in extreme value theory to estimate the tail index, but it is not location invariant. The loca- tion invariant Hill-type estimator (Fraga Alves (2001)) is only suitable for estimating positive indices. In this paper, a new moment-type estimator is studied, which is location invariant. This new estimator is based on the original moment-type estima- tor, but it is made location invariant by a random shift. Its asymptotic normality is derived, in a semiparametric setup.

Original languageEnglish
Pages (from-to)177-189
Number of pages13
JournalTheory of Probability and Mathematical Statistics
Publication statusPublished - 2008
Externally publishedYes


  • As- ymptotic normality
  • Extreme value index
  • Location invariant property
  • Moment estimation
  • Order statistics
  • Regular varying functions

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