A functional law of the iterated logarithm for kernel-type estimators of the tail index

DOI10.1016/J.JSPI.2004.07.013MaRDI QIDQ2581648zbMATH OpenOpenAlexFDO

Authors A. Necir

Publication date 10 January 2006

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

Full work available at URL https://doi.org/10.1016/j.jspi.2004.07.013

zbMATH Keywords

Extreme value indexFunctional laws of the iterated logarithmHill estimatorStrong consistencyTail quantile process

Mathematics Subject Classification ID

Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cites work

• A simple general approach to inference about the tail of a distribution
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• An invariance principle for the law of the iterated logarithm
• scientific article; zbMATH DE number 4176219 (Why is no real title available?)
• scientific article; zbMATH DE number 4145128 (Why is no real title available?)
• scientific article; zbMATH DE number 4064246 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3416840 (Why is no real title available?)
• Kernel estimates of the tail index of a distribution
• Kernel-type estimators for the extreme value index
• Laws of large numbers for sums of extreme values
• Limit theorems for the ratio of the empirical distribution function to the true distribution function
• Regularly varying functions
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(8)

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• scientific article; zbMATH DE number 922424 (Why is no real title available?)
• Estimating L-functionals for heavy-tailed distributions and application
• Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
• A nonparametric sequential test with power 1 for the mean of Lévy-stable laws with infinite variance

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