On the asymptotic normality of Hill's estimator

DOI10.1017/S0305004100073710MaRDI QIDQ4872295zbMATH OpenOpenAlexFDO

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

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)

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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 behavior of Hill's estimate and applications
• scientific article; zbMATH DE number 468945 (Why is no real title available?)
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• Asymptotic properties of generalized DPR statistic
• Limit laws for the norms of extremal samples
• Abelian and Tauberian Theorems on the Bias of the Hill Estimator
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• Testing for small bias of tail index estimators
• Asymptotic properties of the tail distribution and Hill's estimator for shot noise sequence
• Weak asymptotic results for t-Hill estimator
• Ratio of generalized Hill's estimator and its asymptotic normality theory
• Asymptotics for \(T\)-estimators
• scientific article; zbMATH DE number 3988474 (Why is no real title available?)
• scientific article; zbMATH DE number 4111797 (Why is no real title available?)
• A supermartingale argument for characterizing the functional Hill process weak law for small parameters
• On asymptotic normality of Hill's estimator for the exponent of regular variation

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