Second-order regular variation, convolution and the central limit theorem
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Publication:1275940
Recommendations
- SECOND ORDER REGULAR VARIATION AND ITS APPLICATIONS TO RATES OF CONVERGENCE IN EXTREME-VALUE DISTRIBUTION
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- Closure properties of the second-order regular variation under convolutions
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Cites work
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- A strong invariance theorem for the tail empirical process
- Asymptotic behavior of hill's estimator for autoregressive data
- Central limit theorems for sums of extreme values
- Consistency of Hill's estimator for dependent data
- Estimating the limit distribution of multivariate extremes
- Exact Rates of Convergence to a Stable Law
- Functional central limit theorems for processes with positive drift and their inverses
- Kernel estimates of the tail index of a distribution
- Laws of large numbers for sums of extreme values
- Limit theorems for tail processes with application to intermediate quantile estimation
- On asymptotic normality of Hill's estimator for the exponent of regular variation
- On the estimation of the extreme-value index and large quantile estimation
- Point processes, regular variation and weak convergence
- Rates of convergence for bivariate extremes
- Second order behaviour of the tail of a subordinated probability distribution
- Second-order regular variation and rates of convergence in extreme-value theory
- Smoothing the Hill Estimator
- Tail estimates motivated by extreme value theory
- Tails of subordinated laws: The regularly varying case
- The empirical distribution function as a tail estimator
- The qq-estimator and heavy tails
- Von Mises-type conditions in second order regular variation
- Weighted empirical and quantile processes
Cited in
(38)- Closure properties of the second-order regular variation under convolutions
- Properties of second-order regular variation and expansions for risk concentration
- Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
- Second-order regular variation inherited from Laplace-Stieltjes transforms
- SECOND ORDER REGULAR VARIATION AND ITS APPLICATIONS TO RATES OF CONVERGENCE IN EXTREME-VALUE DISTRIBUTION
- Extremal dependence analysis of network sessions
- Risk concentration based on expectiles for extreme risks under FGM copula
- Abelian and Tauberian Theorems on the Bias of the Hill Estimator
- Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations
- On tail index estimation based on multivariate data
- Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
- SECOND-ORDER REGULAR VARIATION AND THE DOMAIN OF ATTRACTION OF STABLE DISTRIBUTIONS
- Operational risk quantified with spectral risk measures: a refined closed-form approximation
- Second-order asymptotics for convolution of distributions with light tails
- Tail index estimation, concentration and adaptivity
- Asymptotics of sum of heavy-tailed risks with copulas
- Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory
- Risk concentration of aggregated dependent risks: the second-order properties
- Weak properties and robustness of t-Hill estimators
- The closure property of 2RV under random sum
- An adaptive optimal estimate of the tail index for MA(1) time series
- Hill's estimator for the tail index of an ARMA model
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- Third order extended regular variation
- The second-order version of Karamata's theorem with applications
- Higher-order representation of Karamata theorem
- Robust estimator of conditional tail expectation of Pareto-type distribution
- First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation
- Estimating the conditional tail expectation in the case of heavy-tailed losses
- Second-order properties of tail probabilities of sums and randomly weighted sums
- A note on second order conditions in extreme value theory: linking general and heavy tail conditions
- Risk concentration and diversification: second-order properties
- Second order regular variation and conditional tail expectation of multiple risks
- THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS
- Second-order regular variation and rates of convergence in extreme-value theory
- Tail index estimation for dependent data
- Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
- Tail asymptotic expansions for \(L\)-statistics
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