Tail Index Estimation in Models of Generalized Order Statistics

DOI10.1081/STA-200056851MaRDI QIDQ4681065zbMATH OpenOpenAlexFDO

Authors Frank Marohn

Publication date 14 June 2005

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-200056851

zbMATH Keywords

asymptotic normalitydomain of attractiongeneralized order statisticsHill estimatortail index

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

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Cites work

• A concept of generalized order statistics
• A simple general approach to inference about the tail of a distribution
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Extreme value theory of generalized order statistics
• On the convergence rates of extreme generalized order statistics
• Strong domain of attraction of extreme generalized order statistics

Cited in

(5)

• Estimating the index of a stable law via the pot-method
• Strong domain of attraction of extreme generalized order statistics
• Domains of attraction of asymptotic distributions of extreme generalized order statistics
• scientific article; zbMATH DE number 810905 (Why is no real title available?)
• Statistical learning theory for fitting multimodal distribution to rainfall data: an application

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