摘要：In this paper we study, under a semi-parametric framework and for heavy right tails, a class of lo cation invariant estimators of a shape second-order parameter, ruling the rate of convergence of the normalised sequence of maximum values to a non-degenerate limit. This class is based on the PORT metho dology, with PORT standing for peaks over random thresholds. Asymptotic normality of such estimators is achieved under a third-order condition on the right-tail of the underlying mo del F and for suitable large intermediate ranks. An illustration of the finite sample behaviour of the estimators is provided through a small-scale Monte-Carlo simulation study.
关键词：asymptotic properties; location/scale invariant estimation; Monte-Carlo simulation; ; PORT methodology; sample of excesses; semi-parametric estimation; shape second- ; order parameters; statistics of extremes; third-order framework
