B1208
Title: A test for Frechet domain of attraction and estimation of the extreme value index
Authors: Andrea Krajina - University of Goettingen (Germany) [presenting]
Abstract: An empirical likelihood based test is proposed for a distribution in a Frechet max-domain of attraction and a new estimator of the positive extreme value index. We present the finite sample behaviour and asymptotic properties of both, the test statistic and the estimator.
Journal