Tail estimates motivated by extreme value theory (Q760731)
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scientific article; zbMATH DE number 3885123
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| English | Tail estimates motivated by extreme value theory |
scientific article; zbMATH DE number 3885123 |
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Tail estimates motivated by extreme value theory (English)
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1984
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This paper deals with the problem of estimating the upper tail of a distribution function. The proposed estimator is based on the upper m order statistics from a random sample of size n (m\(\to \infty\), m/n\(\to 0\) as \(n\to \infty)\) and is shown to be consistent for a wide class of distribution functions. Since the empirical mean residual life of the log transformed data and the sample 1-m/n quantile play a key role in the estimator, their joint asymptotic behavior is studied, and rates of convergence of the estimator to the tail are obtained.
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tail estimation
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regular variation
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Pareto distribution
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order statistics
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empirical mean residual life
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log transformed data
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rates of convergence
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0.8502866625785828
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0.8379333019256592
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0.8365881443023682
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0.8117762207984924
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