On asymptotic normality of Hill's estimator for the exponent of regular variation (Q1084785)
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English | On asymptotic normality of Hill's estimator for the exponent of regular variation |
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On asymptotic normality of Hill's estimator for the exponent of regular variation (English)
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1985
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It is shown that Hill's estimator [\textit{B. M. Hill}, ibid. 3, 1163-1174 (1975; Zbl 0323.62033)] for the exponent of regular variation is asymptotically normal if the number \(k_ n\) of extreme order statistics used to construct it tends to infinity appropriately with the sample size n. As our main result, we derive a general condition which can be used to determine the optimal \(k_ n\) explicitly, provided that some prior knowledge is available on the underlying distribution function with regularly varying upper tail. This condition is simplified under appropriate assumptions and then applied to several examples.
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limit theorems
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Hill's estimator
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exponent of regular variation
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asymptotically normal
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extreme order statistics
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regularly varying upper tail
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