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)

zbMATH Keywords

weight functiontail empirical and tail quantile processFréchet distribution

Mathematics Subject Classification ID

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

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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

(17)

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

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