Strong convergence bounds of the Hill-type estimator under second-order regularly varying conditions

DOI10.1155/JIA/2006/95124MaRDI QIDQ2491563zbMATH OpenOpenAlexWikidataFDO

Authors Zuoxiang Peng, Saralees Nadarajah

Publication date 29 May 2006

Published in Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/126389

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Recommendations

• Almost sure convergence of the Hill estimator
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations
• Second-order regular variation and rates of convergence in extreme-value theory
• Weak asymptotic results for t-Hill estimator
• SECOND ORDER REGULAR VARIATION AND ITS APPLICATIONS TO RATES OF CONVERGENCE IN EXTREME-VALUE DISTRIBUTION
• Hill's estimator under weak dependence
• scientific article; zbMATH DE number 5002028

Cites work

• A moment estimator for the index of an extreme-value distribution
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• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
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• scientific article; zbMATH DE number 1159522 (Why is no real title available?)
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• Limit theorems for the ratio of the empirical distribution function to the true distribution function
• On Smooth Statistical Tail Functionals
• On the estimation of the extreme-value index and large quantile estimation
• Statistical inference using extreme order statistics
• Strong laws for the k-th order statistic when k\(\leq c\,\log _ 2\,n\)

Cited in

(3)

• Optimal rates of convergence for estimates of the extreme value index
• Limit laws for the norms of extremal samples
• Strong convergence bound of the Pareto index estimator under right censoring

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