Large deviations of tail estimators based on the Pareto approximation

DOI10.2307/3214094zbMath0631.60015OpenAlexW4252507001MaRDI QIDQ3768072

Ishay Weissman, Richard L. Smith

Publication date: 1987

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214094

zbMATH Keywords

extreme value theoryvon Mises conditionregularly varying functionstheory of regular variationPareto approximationsspeed of convergence of maxima

Mathematics Subject Classification ID

Distribution theory (60E99) Limit theorems in probability theory (60F99)

Related Items (3)

The empirical distribution function as a tail estimator ⋮ Almost sure convergence of the Hill estimator ⋮ On the use of the peaks over thresholds method for estimating out-of-sample quantiles.

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