This paper consists of two parts. An easy proof is given for the weak consistency of Pickands' estimate for the main parameter of an extreme-value distribution. Moreover, further natural conditions are given for strong consistency and for asymptotic normality of the estimate. Next a large quantile of a distribution is estimated by a combination of extreme or intermediate order statistics. This leads to an asymptotic confidence interval.
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Dekkers et al. (1989) studied this question.
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