From extended regular variation to regular variation with application in extreme value statis\-tics

DOI10.1016/J.JMAA.2009.01.058zbMath1172.62019OpenAlexW1977586612MaRDI QIDQ1018349

Cláudia Neves

Publication date: 19 May 2009

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2009.01.058

zbMATH Keywords

domain of attractionheavy tailsmaximum likelihoodextreme value index

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Estimation of extreme quantiles from heavy-tailed distributions with neural networks ⋮ Second order regular variation and conditional tail expectation of multiple risks ⋮ Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations ⋮ Detecting finiteness in the right endpoint of light-tailed distributions

Cites Work

• Residual life time at great age
• Statistical inference using extreme order statistics
• On maximum likelihood estimation of the extreme value index.
• On Smooth Statistical Tail Functionals
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