The empirical distribution function as a tail estimator

DOI10.1111/J.1467-9574.1990.TB01528.XMaRDI QIDQ3198717zbMATH OpenOpenAlexFDO

Authors John H. J. Einmahl

Publication date 1990

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://pure.uvt.nl/ws/files/618505/JE13___.PDF

zbMATH Keywords

Consistencyempirical distributionrelative errortail estimation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

Recommendations

• Tail estimates motivated by extreme value theory
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• On Smooth Statistical Tail Functionals
• Some results on estimation of the tail index of a distribution

Cites work

• A refinement of the KMT inequality for the uniform empirical process
• Estimating tails of probability distributions
• Large deviations of tail estimators based on the Pareto approximation
• Laws of the iterated logarithm in the tails for weighted uniform empirical processes
• Limit theorems for the ratio of the empirical distribution function to the true distribution function
• Statistical inference using extreme order statistics
• Tail estimates motivated by extreme value theory
• The Asymptotic Behavior of Hill’s Estimator

Cited in

(13)

• Weak convergence of the tail empirical process for dependent sequences
• Limit theorems for tail processes with application to intermediate quantile estimation
• Second-order regular variation, convolution and the central limit theorem
• Optimal asymptotic estimation of small exceedance probabilities
• Kernel estimators of extreme level curves
• Functional kernel estimators of large conditional quantiles
• Empirical tail conditional allocation and its consistency under minimal assumptions
• scientific article; zbMATH DE number 7219027 (Why is no real title available?)
• Estimating a bivariate tail: a copula based approach
• On optimising the estimation of high quantiles of a probability distribution
• Estimating long memory in panel random-coefficient AR(1) data
• Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series
• Tail estimates motivated by extreme value theory

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