The Asymptotic Behavior of Hill’s Estimator

DOI10.1137/1131060zbMath0657.62048OpenAlexW1985514006MaRDI QIDQ3805649

Jan Beirlant, Jozef L. Teugels

Publication date: 1987

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1131060

zbMATH Keywords

consistencyasymptotic normalitymaximum likelihood estimatorsurvival functiontail behaviourHill estimatordomain of attraction problemempirical mean residual life function

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05)

Related Items (8)

Estimation of the Ruin Probability in Infinite Time for Heavy Right-Tailed Losses ⋮ The empirical distribution function as a tail estimator ⋮ On estimation of the scale and location parameters of distribution tails ⋮ Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts ⋮ Modeling large claims in non-life insurance ⋮ Quasi-conjugate Bayes estimates for GPD parameters and application to heavy tails modelling ⋮ A Monte Carlo method for estimating the correlation exponent ⋮ A Discrimination Test for Tails of Weibull-Type Distributions

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