A supermartingale argument for characterizing the functional Hill process weak law for small parameters

DOI10.3103/S1066530717010057zbMath1380.62222arXiv1306.5462OpenAlexW2963527520MaRDI QIDQ1678533

Gane Samb Lo, Cheikhna Hamallah Ndiaye, Akim Adekpedjou, Adja Mbarka Fall

Publication date: 17 November 2017

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

Full work available at URL: https://arxiv.org/abs/1306.5462

zbMATH Keywords

extreme value theorysupermartingalefunctional Hill process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)

Cites Work

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• Ratio of generalized Hill's estimator and its asymptotic normality theory
• Kernel estimators for the second order parameter in extreme value statistics
• Kernel estimates of the tail index of a distribution
• Kernel-type estimators for the extreme value index
• Statistics of Extremes
• Stochastically monotone Markov Chains

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