On asymptotic normality of Hill's estimator for the exponent of regular variation (Q1084785)

From MaRDI portal





scientific article; zbMATH DE number 3980222
Language Label Description Also known as
English
On asymptotic normality of Hill's estimator for the exponent of regular variation
scientific article; zbMATH DE number 3980222

    Statements

    On asymptotic normality of Hill's estimator for the exponent of regular variation (English)
    0 references
    1985
    0 references
    It is shown that Hill's estimator [\textit{B. M. Hill}, ibid. 3, 1163-1174 (1975; Zbl 0323.62033)] for the exponent of regular variation is asymptotically normal if the number \(k_ n\) of extreme order statistics used to construct it tends to infinity appropriately with the sample size n. As our main result, we derive a general condition which can be used to determine the optimal \(k_ n\) explicitly, provided that some prior knowledge is available on the underlying distribution function with regularly varying upper tail. This condition is simplified under appropriate assumptions and then applied to several examples.
    0 references
    limit theorems
    0 references
    Hill's estimator
    0 references
    exponent of regular variation
    0 references
    asymptotically normal
    0 references
    extreme order statistics
    0 references
    regularly varying upper tail
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references