A functional law of the iterated logarithm for the Dekkers-Einmahl-de Haan tail index estimator

DOI10.1016/0167-7152(95)00152-2zbMath1059.60502OpenAlexW2093675807MaRDI QIDQ1126122

Khelifa Tobbal

Publication date: 23 February 1997

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00152-2

zbMATH Keywords

Order statisticsEmpirical distribution functionEmpirical quantile functionFunctional laws of the iterated logarithm

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)

Related Items (1)

A functional law of the iterated logarithm for the dekkers-einmahl-de haan tail index estimator

Cites Work

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• A moment estimator for the index of an extreme-value distribution
• A functional law of the iterated logarithm for tail quantile processes
• A simple general approach to inference about the tail of a distribution
• Nonstandard functional laws of the iterated logarithm for tail empirical and quantile processes
• A tail empirical process approach to some nonstandard laws of the iterated logarithm
• Almost sure convergence of the Hill estimator
• Regularly varying functions in the theory of simple branching processes

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