Tail estimates motivated by extreme value theory (Q760731)

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Tail estimates motivated by extreme value theory
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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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