Limit theorems for tail processes with application to intermediate quantile estimation

DOI10.1016/0378-3758(92)90156-MMaRDI QIDQ1200019zbMATH OpenFDO

Authors John H. J. Einmahl

Publication date 17 January 1993

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(92)90156-M

zbMATH Keywords

Fréchet distributiontail empirical and tail quantile processweight function

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Nonparametric tolerance and confidence regions (62G15) Order statistics; empirical distribution functions (62G30)

Review text

The purpose of the paper is to describe the weak and strong limiting behaviour of weighted uniform tail processes and to derive some limit theorems for a weighted non-uniform tail-quantile-type process based on a random sample \(X_ 1,\dots,X_ n\) from a distribution \(F\) that satisfies the so-called von Mises sufficient condition for being in the domain of max-attraction of a Fréchet distribution.

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Cites work

• A simple general approach to inference about the tail of a distribution
• A strong invariance theorem for the tail empirical process
• Almost sure convergence of the Hill estimator
• An invariance principle for the law of the iterated logarithm
• Approximation of intermediate quantile processes
• Laws of the iterated logarithm in the tails for weighted uniform empirical processes
• Limit theorems for the ratio of the empirical distribution function to the true distribution function
• Nonstandard functional laws of the iterated logarithm for tail empirical and quantile processes
• On the tail behaviour of quantile processes
• Strong limit theorems for weighted quantile processes
• The a.s. behavior of the weighted empirical process and the LIL for the weighted tail empirical process
• The empirical distribution function as a tail estimator
• Weighted empirical and quantile processes

Cited in

(18)

• Weak convergence of the tail empirical process for dependent sequences
• On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
• Jackknife method for intermediate quantiles
• On the tail behaviour of quantile processes
• Second-order regular variation, convolution and the central limit theorem
• A general class of estimators of the extreme value index
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• The tail empirical process for long memory stochastic volatility models with leverage
• Inference for intermediate Haezendonck-Goovaerts risk measure
• scientific article; zbMATH DE number 1944037 (Why is no real title available?)
• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
• Estimating the Mean of Heavy-tailed Distribution under Random Truncation
• Inference on two-component mixtures under tail restrictions
• Weakening of conditions on quantile processes approximations for sample extremes of a Gumbel’s law
• Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series
• The tail empirical process for long memory stochastic volatility sequences
• Cross-validation on extreme regions
• Extreme Value Statistics in Semi-Supervised Models

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