Estimating the Tail Index by using Model Averaging
  The ideas of model averaging are used to find weights in peak-over-threshold problems using a possible range of thresholds. A range of the largest observations are chosen and considered as possible thresholds, each time performing estimation. Weights based on an information criterion for each threshold are calculated. A weighted estimate of the threshold and shape parameter can be calculated. 
J. Martin van Zyl
stat.OT stat.ME