| Panel A: T = 2000 |
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| ξ = 0.25 | ξ = 0.5 | ξ = 0 | ||||||||||
| Mean | Bias | % Bias | RMSE | Mean | Bias | % Bias | RMSE | Mean | Bias | % Bias | RMSE | |
| ML | 0.173 | −0.077 | −30.7% | 0.154 | 0.454 | −0.046 | −9.2% | 0.165 | −0.155 | −0.155 | - | 0.190 |
| Hill | 0.345 | 0.095 | 37.8% | 0.101 | 0.539 | 0.039 | 7.8% | 0.066 | 0.211 | 0.211 | - | 0.212 |
| Pickands | 0.024 | −0.226 | −90.5% | 0.288 | 0.330 | −0.170 | −34.0% | 0.255 | −0.155 | −0.155 | - | 0.190 |
| Dekkers | 0.208 | −0.042 | −17.0% | 0.122 | 0.471 | −0.029 | −5.7% | 0.122 | −0.106 | −0.106 | - | 0.154 |
| PWM | 0.173 | −0.077 | −31.0% | 0.155 | 0.440 | −0.060 | −12.1% | 0.147 | −0.104 | −0.104 | - | 0.163 |
| Panel B: T = 500 |
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| ξ = 0.25 | ξ = 0.5 | ξ = 0 | ||||||||||
| Mean | Bias | % Bias | RMSE | Mean | Bias | % Bias | RMSE | Mean | Bias | % Bias | RMSE | |
| ML | 0.122 | −0.128 | −51.2% | 0.354 | 0.361 | −0.139 | −27.9% | 0.338 | −0.277 | −0.277 | - | 0.386 |
| Hill | 0.335 | 0.085 | 33.8% | 0.104 | 0.515 | 0.015 | 3.1% | 0.100 | 0.198 | 0.198 | - | 0.202 |
| Pickands | −0.021 | −0.271 | −108.3% | 0.472 | 0.304 | −0.196 | −39.2% | 0.424 | −0.256 | −0.256 | - | 0.442 |
| Dekkers | 0.185 | −0.065 | −25.8% | 0.219 | 0.400 | −0.100 | −20.1% | 0.213 | −0.086 | −0.086 | - | 0.182 |
| PWM | 0.247 | −0.003 | −1.4% | 0.231 | 0.409 | −0.091 | −18.2% | 0.204 | −0.044 | −0.044 | - | 0.213 |