Tail fit and the Zipf-Pareto law (Q2463679)

Let \(X_{1:n}<\dots<X_{n:n}\) be the order statistics of an i.i.d. sample with CDF \(F\). The authors investigate the limit distribution of \[ V=(V_{n,2},\dots,V_{n,k}),\;\text{where}\;V_{n,j}=(X_{n-j+2:n}-X_{n-j+1:n})/X_{n-j+2:n}. \] It is shown that the density of \(V\) converges to \( \prod_{j=2}^k p_j(v_j)\), where \[ p_j(v)=(j-1)(b-1)(1-v)^{(j-1)(b-1)-1}\mathbf{1}_{(0,1)}(v), \] \(1-b\) being the index of variation of \(1-F(x)\). The rate of convergence is estimated.