Non-normal limit theorem for a new tail index estimation

MaRDI QIDQ3428774zbMATH OpenFDO

Authors Laszlo Szeidl

Publication date 29 March 2007

zbMATH Keywords

Non-normal limit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

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Cited in

(3)

• New expressions for repeated lower tail integrals of the normal distribution
• Weak convergence of the empirical mean excess process with application to estimate the negative tail index
• New expressions for repeated upper tail integrals of the normal distribution

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