A note on the asymptotic normality of sums of extreme values

DOI10.1016/0378-3758(89)90071-2MaRDI QIDQ1122252zbMATH OpenOpenAlexFDO

Authors Gane Samb Lo

Publication date 1989

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

Full work available at URL https://arxiv.org/abs/1607.04848

zbMATH Keywords

order statisticsstandard normaldomain of attraction of a Gumbel extreme value distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)

Abstract: Let $X_1$, $X_2$,... be a sequence of independent random variables with common distribution function $F$ in the domain of attraction of a Gumbel extreme value distribution and for each integer $ngeq1$, let $X_{1,n}leq\mathrm{...}{X}_{n,n}$ denote the order statistics based on the first $n$ of these random variables. Along with related results it is shown that for any sequence of positive integers $k_{n}ightarrow+infty$ and $k_n/nightarrow0$ as $nightarrow0$ the sum of the upper $k_n$ extreme values $X_{n-k_n,n}+\mathrm{...}+X_{n,n}$, when properly centered and normalized, converges in distribution to a standard normal random variable $N(0,1)$. These results constitute an extension of results by S. Cs"{o}rgH{o} and D.M. Mason (1985).

Recommendations

• The asymptotic distribution of extreme sums
• scientific article; zbMATH DE number 850841
• Central limit theorems for sums of extreme values
• scientific article; zbMATH DE number 4145128
• scientific article; zbMATH DE number 540516

Cites work

• scientific article; zbMATH DE number 3490246 (Why is no real title available?)
• scientific article; zbMATH DE number 3359478 (Why is no real title available?)
• A simple general approach to inference about the tail of a distribution
• Almost sure convergence of the Hill estimator
• Asymptotic behavior of Hill's estimate and applications
• Central limit theorems for sums of extreme values
• Laws of large numbers for sums of extreme values
• The asymptotic distribution of sums of extreme values from a regularly varying distribution
• Weighted empirical and quantile processes

Cited in

(12)

• scientific article; zbMATH DE number 4176219 (Why is no real title available?)
• Semi-parametric estimation of the quintile share ratio index of inequality measure for heavy-tailed income distributions with index in the upper half of the unit interval
• AN OUTLIER TEST FOR TIME SERIES BASED ON A TWO-SIDED PREDICTOR
• scientific article; zbMATH DE number 4186734 (Why is no real title available?)
• The convergence rate for the normal approximation of extreme sums
• Trimmed sums of long range dependent moving averages
• Ratio of generalized Hill's estimator and its asymptotic normality theory
• Generalized extreme value statistics and sum of correlated variables
• The asymptotic distribution of extreme sums
• An outlier test for linear processes
• Estimation of distribution tails —a semiparametric approach
• Complete asymptotic expansions for normal extremes

This page was built for publication: A note on the asymptotic normality of sums of extreme values

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1122252)