Modification of Moment-Based Tail Index Estimator: Sums versus Maxima

Natalia Markovich, Marijus Vaičiulis

In this paper we continue the investigation of the SRCEN estimator of the extreme value index $\gamma$ (or the tail index $\alpha =1/\gamma$) proposed in \cite{MCE} for $\gamma >1/2$. We propose a new e…