Estimation of the finite right endpoint in the Gumbel domain

TL;DR

This paper introduces a new estimator for the finite right endpoint of distributions in the Gumbel domain, analyzing its large sample properties and validating performance through simulations.

Contribution

It proposes a simple estimator for the finite right endpoint in the Gumbel domain and derives its large sample properties, including consistency and asymptotic distribution.

Findings

Estimator is consistent and asymptotically normal.

Simulation results confirm the estimator's effectiveness.

Method provides a practical tool for endpoint estimation in Gumbel domain.

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 also presented.