Location invariant Weiss-Hill estimator

Chengxiu Ling, Zuoxiang Peng, Saralees Nadarajah*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)


In this paper, a new kind of location invariant Weiss-Hill estimator of the extreme value index γ ∈ ℝ is proposed. The new estimator is a combination of two estimators proposed by Weiss (Nav Res Logist Q 1:111-114, 1971) and Fraga Alves (Extremes 4:199-217, 2001a). The following properties of the new estimator are derived: weak consistency, strong consistency, and asymptotic expansions. A bias corrected version of the proposed estimator is given after determining an optimal sample fraction. Some finite simulation studies are performed.

Original languageEnglish
Pages (from-to)197-230
Number of pages34
Issue number2
Publication statusPublished - Jun 2012
Externally publishedYes


  • Extreme value index
  • Location invariant
  • Mean squared error
  • Second order regular variation

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