Ratio of generalized Hill's estimator and its asymptotic normality theory

DOI10.3103/S1066530709020021MaRDI QIDQ734562zbMATH OpenWikidataFDO

Authors Aliou Diop, Gane Samb Lo

Publication date 13 October 2009

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

extreme value theoryorder statisticsmaximum domain of attractionBrownian bridgesempirical and quantile processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes (62M99) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

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Cites work

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• A moment estimator for the index of an extreme-value distribution
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• Generalized Hill's estimator
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• Statistics of Extremes
• Weighted empirical and quantile processes

Cited in

(2)

• A supermartingale argument for characterizing the functional Hill process weak law for small parameters
• Generalized Hill's estimator

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