Weak convergence of the empirical mean excess process with application to estimate the negative tail index

DOI10.1007/s11009-007-9065-zzbMath1293.62111OpenAlexW2119082858MaRDI QIDQ398793

Deyuan Li, Juerg Hüsler

Publication date: 15 August 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://boris.unibe.ch/36888/1/11009_2007_Article_9065.pdf

zbMATH Keywords

tail indexlinear regressiongoodness-of-fit testmean excess functionempirical mean excess process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Cites Work

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• A moment estimator for the index of an extreme-value distribution
• Statistical inference using extreme order statistics
• On maximum likelihood estimation of the extreme value index.
• On testing extreme value conditions
• Some Best Parameter Estimates for Distributions with Finite Endpoint
• Maximum likelihood estimation in a class of nonregular cases
• On Smooth Statistical Tail Functionals

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