On the asymptotic normality of Hill's estimator

DOI10.1017/S0305004100073710zbMATH Open0877.62016OpenAlexW2123596139MaRDI QIDQ4872295FDOQ4872295

Authors: Sándor Csörgő, László Viharos 

Publication date: 14 December 1997

Published in: Mathematical Proceedings of the Cambridge Philosophical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0305004100073710

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zbMATH Keywords

asymptotic normalityorder statisticsHill's estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20)

Cites Work

• A simple general approach to inference about the tail of a distribution
• Kernel estimates of the tail index of a distribution
• Laws of large numbers for sums of extreme values
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Tail estimates motivated by extreme value theory

Cited In (16)

• Asymptotic properties of generalized DPR statistic
• Testing for small bias of tail index estimators
• Weak asymptotic results for t-Hill estimator
• Asymptotic behavior of Hill's estimate and applications
• Title not available (Why is that?)
• Abelian and Tauberian Theorems on the Bias of the Hill Estimator
• Title not available (Why is that?)
• Title not available (Why is that?)
• Ratio of generalized Hill's estimator and its asymptotic normality theory
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Asymptotics for \(T\)-estimators
• Limit laws for the norms of extremal samples
• Asymptotic properties of the tail distribution and Hill's estimator for shot noise sequence
• A supermartingale argument for characterizing the functional Hill process weak law for small parameters
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour

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