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Extreme Value Index Estimation by Means of an Inequality Curve

Author

Listed:
  • Emanuele Taufer

    (Department of Economics and Management, University of Trento, 38122 Trento, Italy)

  • Flavio Santi

    (Department of Economics, University of Verona, 37136 Verona, Italy)

  • Pier Luigi Novi Inverardi

    (Department of Economics and Management, University of Trento, 38122 Trento, Italy)

  • Giuseppe Espa

    (Department of Economics and Management, University of Trento, 38122 Trento, Italy)

  • Maria Michela Dickson

    (Department of Economics and Management, University of Trento, 38122 Trento, Italy)

Abstract

A characterizing property of Zenga (1984) inequality curve is exploited in order to develop an estimator for the extreme value index of a distribution with regularly varying tail. The approach proposed here has a nice graphical interpretation which provides a powerful method for the analysis of the tail of a distribution. The properties of the proposed estimation strategy are analysed theoretically and by means of simulations. The usefulness of the method will be tested also on real data sets.

Suggested Citation

  • Emanuele Taufer & Flavio Santi & Pier Luigi Novi Inverardi & Giuseppe Espa & Maria Michela Dickson, 2020. "Extreme Value Index Estimation by Means of an Inequality Curve," Mathematics, MDPI, vol. 8(10), pages 1-17, October.
    • Handle: RePEc:gam:jmathe:v:8:y:2020:i:10:p:1834-:d:431089
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    References listed on IDEAS

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