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A general estimator for the right endpoint - with an appl...
Isabel Fraga Alves, Cláudia Neves, Pedro Rosário · 2014-12-12 · via math.ST updates on arXiv.org

We extend the setting of the right endpoint estimator introduced in Fraga Alves and Neves (Statist. Sinica 24:1811--1835, 2014) to the broader class of light-tailed distributions with finite endpoint, belonging to some domain of attraction induced by the extreme value theorem. This stretch enables a general estimator for the finite endpoint, which does not require estimation of the (supposedly non-positive) extreme value index. A new testing procedure for selecting max-domains of attraction also arises in connection with asymptotic properties of the general endpoint estimator. The simulation study conveys that the general endpoint estimator is a valuable complement to the most usual endpoint estimators, particularly when the true extreme value index stays above $-1/2$, embracing the most common cases in practical applications. An illustration is provided via an extreme value analysis of supercentenarian women data.