On asymptotic normality of Hill's estimator for the exponent of regular variation

DOI10.1214/aos/1176349551zbMath0606.62019OpenAlexW2056701644MaRDI QIDQ1084785

Publication date: 1985

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176349551

zbMATH Keywords

limit theorems Hill's estimator extreme order statistics asymptotically normal exponent of regular variation regularly varying upper tail

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30)

Related Items

Estimation of the Lundberg coefficient for a Markov modulated risk model, Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations, A Hill Type Estimator of the Weibull Tail-Coefficient, Testing the assumptions behind importance sampling, Weak limiting behaviour of a simple tail Pareto-index estimator, \(K\)-record values and the extreme-value index, A bootstrap method to test for the existence of finite moments, On Some alternative estimates of the adjustment coefficient in risk theory, A parametric solution for simple stress-strength model of failure with an application, On tail parameter estimation in certain point process models, Approximation to the expectation of a function of order statistics and its applications, Modelling of extremal events in insurance and finance, On robust tail index estimation for linear long-memory processes, A general class of estimators of the extreme value index, Asymptotically efficient estimation of the index of regular variation, Extremal memory of stochastic volatility with an application to tail shape inference, On an improvement of Hill and some other estimators, Consistent estimation of the tail index for dependent data, Large deviation theorem for Hill's estimator, On posterior consistency of tail index for Bayesian kernel mixture models, Estimation of central shapes of error distributions in linear regression problems, Multivariate Hill Estimators, Flexible multivariate Hill estimators, On the use of \(L\)-functionals in regression models, GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference, Extreme values statistics for Markov chains via the (pseudo-) regenerative method, Multivariate moment based extreme value index estimators, Semi-parametric regression estimation of the tail index, On tail index estimation using a sample with missing observations, The harmonic moment tail index estimator: asymptotic distribution and robustness, A new representation for multivariate tail probabilities, On the asymptotic normality of Hill's estimator, Dual divergence estimators of the tail index, Generalized least-squares estimators for the thickness of heavy tails, Are there common values in first-price auctions? A tail-index nonparametric test, Estimation of extreme quantiles from heavy and light tailed distributions, Inference about the tail of a distribution: improvement on the Hill estimator, Limiting behaviour of a geometric-type estimator for tail indices., Uniform in bandwidth consistency of kernel estimators of the tail index, A class of Pickands-type estimators for the extreme value index, Simple tail index estimation for dependent and heterogeneous data with missing values, On local uniformity for estimators and confidence limits, Test for the existence of finite moments via bootstrap, Almost sure convergence of the Hill estimator, A review of more than one hundred Pareto-tail index estimators, Reiss and Thomas' automatic selection of the number of extremes, A moving window approach for nonparametric estimation of the conditional tail index, Estimation of the Weibull tail-coefficient with linear combination of upper order statistics, Fitting a parametric distribution for large claims in case of censored or partitioned data, On estimation of the exponent of regular variation using a sample with missing observations, Pareto Index Estimation Under Moderate Right Censoring, Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling, Estimating catastrophic quantile levels for heavy-tailed distributions, ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA, Weibull tail-distributions revisited: A new look at some tail estimators, Estimation of heavy-tailed probability density function with applications to Web data, On univariate extreme value statistics and the estimation of reinsurance premiums, Weak convergence of a bootstrap geometric-type estimator with applications to risk theory, A Monte Carlo method for estimating the correlation exponent, Estimating Extreme Quantiles of Weibull Tail Distributions, Residual estimators, TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS, Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis, Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions, The coupling method in extreme value theory, On tail index estimation based on multivariate data, Selecting the optimal sample fraction in univariate extreme value estimation, On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation, A new test for tail index with application to Danish fire loss data, Second-order regular variation, convolution and the central limit theorem, Extremal dependence measure for functional data, Prediction of record values, Tail index estimation for dependent data, A tail bootstrap procedure for estimating the tail Pareto-index, Bootstrap confidence intervals for the pareto index, A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS, An Estimator of the Exponent of Regular Variation Based on K-Record Values, Semiparametric lower bounds for tail index estimation, Estimation of distribution tails —a semiparametric approach, Asymptotics of the distribution of the ratio of sums of random variables, Tails of Lorenz curves, A class of location invariant estimators for heavy tailed distributions, An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.