A multivariate limit theorem for generalized Hill statistics

DOI10.1007/S10986-025-09658-2MaRDI QIDQ6998544zbMATH OpenFDO

Authors Marijus Vaičiulis

Publication date 11 April 2025

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10986-025-09658-2

zbMATH Keywords

asymptotic normalityextreme value indexgeneralized Hill statisticsHill estimator

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32)

Cites work

• A bootstrap-based method to achieve optimality in estimating the extreme-value index
• A class of asymptotically unbiased semi-parametric estimators of the tail index.
• A class of new tail index estimators
• A class of semiparametric tail index estimators and its applications
• A new estimator for a tail index
• A simple general approach to inference about the tail of a distribution
• A simple generalisation of the Hill estimator
• Adaptive estimates of parameters of regular variation
• Asymptotic Statistics
• Comparison of tail index estimators
• Extreme value theory. An introduction.
• scientific article; zbMATH DE number 3824949 (Why is no real title available?)
• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 7115505 (Why is no real title available?)
• Mixed moment estimator and location invariant alternatives
• More on \(p\)-stable convex sets in Banach spaces
• On an improvement of Hill and some other estimators
• On Smooth Statistical Tail Functionals
• Optimal choice of sample fraction in extreme-value estimation
• Residual estimators
• Several modifications of DPR estimator of the tail index
• Stable probability distributions and their domains of attraction: A direct approach
• Statistics of Extremes
• The Edgeworth expansion for distributions of extreme values
• The harmonic moment tail index estimator: asymptotic distribution and robustness

Cited in

(1)

• The generalization of several classical estimators for a positive extreme value index

This page was built for publication: A multivariate limit theorem for generalized Hill statistics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6998544)