Limit laws for the norms of extremal samples

DOI10.1016/J.JSPI.2021.06.001MaRDI QIDQ2242885zbMATH OpenOpenAlexFDO

Authors Peter Kevei, Lillian Oluoch, László Viharos

Publication date 10 November 2021

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

Full work available at URL https://arxiv.org/abs/2004.12736

zbMATH Keywords

Hill estimatorpower sumregular variationresidual estimatorstable distributiontail index

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)

Abstract: Let denote $S_n(p)=k_n^{-1}su{m}_{i=1}^{k_n}left(log(X_{n+1-i,n}/X_{n-k_n,n})ight{)}^p$, where $p>0$, $k_{n}leqn$ is a sequence of integers such that $k_{n}oinfty$ and $k_n/no0$, and $X_{1,n}leqldotsleq{X}_{n,n}$ is the order statistics of iid random variables with regularly varying upper tail. The estimator $widehatgamma(n)=(S_n(p)/Gamma(p+1){)}^{1/p}$ is an extension of the Hill estimator. We investigate the asymptotic properties of $S_n(p)$ and $widehatgamma(n)$ both for fixed $p>0$ and for $p=p_{n}oinfty$. We prove strong consistency and asymptotic normality under appropriate assumptions. Applied to real data we find that for larger $p$ the estimator is less sensitive to the change in $k_n$ than the Hill estimator.

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(9)

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Uses Software

• plfit

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