Integral functionals and the bootstrap for the tail empirical process

DOI10.1007/s10687-022-00445-7OpenAlexW4306174820MaRDI QIDQ2688188

Hicham Loukrati, Rafał Kulik, B. Gail Ivanoff

Publication date: 2 March 2023

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-022-00445-7

zbMATH Keywords

bootstrapregular variationtail indexHill estimatortail empirical processbootstrap variance estimatorharmonic moment estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• WLLN for arrays of nonnegative random variables
• The tail empirical process for long memory stochastic volatility sequences
• Weak convergence of the tail empirical process for dependent sequences
• A simple general approach to inference about the tail of a distribution
• Bootstrap methods: another look at the jackknife
• Optimal rates of convergence for estimates of the extreme value index
• Weak convergence and empirical processes. With applications to statistics
• Bootstrapping Hill estimator and tail array sums for regularly varying time series
• The tail empirical process for long memory stochastic volatility models with leverage
• The harmonic moment tail index estimator: asymptotic distribution and robustness
• Some Useful Functions for Functional Limit Theorems
• Heavy-Tailed Time Series

This page was built for publication: Integral functionals and the bootstrap for the tail empirical process