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math.ST2024
Smoothing the Conditional Value-at-Risk based Pickands Estimators
Yizhou Li, Pawel Polak
We incorporate the conditional value-at-risk (CVaR) quantity into a generalized class of Pickands estimators. By introducing CVaR, the newly developed estimators not only retain th…
math.ST2024
Asymptotic Normality of the Conditional Value-at-Risk based Pickands Estimator
Yizhou Li, Pawel Polak
The Pickands estimator for the extreme value index is beneficial due to its universal consistency, location, and scale invariance, which sets it apart from other types of estimator…