Large deviations of tail estimators based on the Pareto approximation

DOI10.2307/3214094MaRDI QIDQ3768072zbMATH OpenOpenAlexFDO

Authors Ishay Weissman, Richard L. Smith

Publication date 1987

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214094

zbMATH Keywords

extreme value theoryPareto approximationsregularly varying functionsspeed of convergence of maximatheory of regular variationvon Mises condition

Mathematics Subject Classification ID

Distribution theory (60E99) Limit theorems in probability theory (60F99)

Recommendations

• Large deviation probabilities for tail index estimators
• scientific article; zbMATH DE number 6751368
• Weak asymptotic results for t-Hill estimator
• Estimating Pareto tail index based on sample means
• Estimating tails of probability distributions

Cited in

(8)

• On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
• On the relative approximation error of the generalized Pareto approximation for a high quantile
• Monotonicity of the Hill estimator in finite samples
• The empirical distribution function as a tail estimator
• Large deviation probabilities for tail index estimators
• scientific article; zbMATH DE number 3919550 (Why is no real title available?)
• Asymptotic behavior of Hill's estimate and applications
• Almost sure convergence of the Hill estimator

This page was built for publication: Large deviations of tail estimators based on the Pareto approximation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3768072)