A note on the asymptotic normality of sums of extreme values

DOI10.1016/0378-3758(89)90071-2zbMATH Open0675.62012arXiv1607.04848OpenAlexW3103858313MaRDI QIDQ1122252FDOQ1122252

Authors: Gane Samb Lo 

Publication date: 1989

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

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).

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

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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)

Cites Work

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Cited In (12)

• An outlier test for linear processes
• The convergence rate for the normal approximation of extreme sums
• Trimmed sums of long range dependent moving averages
• The asymptotic distribution of extreme sums
• Ratio of generalized Hill's estimator and its asymptotic normality theory
• 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
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation of distribution tails —a semiparametric approach
• Complete asymptotic expansions for normal extremes
• Generalized extreme value statistics and sum of correlated variables
• AN OUTLIER TEST FOR TIME SERIES BASED ON A TWO-SIDED PREDICTOR

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