Asymptotically efficient estimation of the index of regular variation

DOI10.1214/aos/1034713646zbMath0854.62022OpenAlexW2021942325MaRDI QIDQ1922379

Xiaoying Wei

Publication date: 19 January 1997

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1034713646

zbMATH Keywords

order statisticsasymptotic normalityconditional densityslowly varying functionLANconditional maximum likelihood estimatorasymptotically efficient estimatoriterative estimatorindex of regular variation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20)

Related Items

Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach, Local asymptotic normality of truncated empirical processes, Local asymptotic normality of intermediate and central order statistics, A simple robust estimation method for the thickness of heavy tails, Semiparametric lower bounds for tail index estimation

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