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Statistica Sinica 24 (2014), 1811-1835

ESTIMATION OF THE FINITE RIGHT ENDPOINT
IN THE GUMBEL DOMAIN
Isabel Fraga Alves and Cláudia Neves
University of Lisbon and University of Aveiro

Abstract: A simple estimator for the finite right endpoint of a distribution function in the Gumbel max-domain of attraction is proposed. Large sample properties such as consistency and the asymptotic distribution are derived. A simulation study is presented.

Key words and phrases: Endpoint estimation, extreme value theory, statistical inference.

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