Large deviation theorem for Hill's estimator

DOI10.1007/BF02582913zbMath0813.62041OpenAlexW412844947MaRDI QIDQ4025314

Shi Hong Cheng

Publication date: 18 February 1993

Published in: Acta Mathematica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02582913

zbMATH Keywords

order statistics

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Large deviations (60F10)

Related Items (1)

Goodness-of-fit tests for a heavy tailed distribution

Cites Work

• Unnamed Item
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Laws of large numbers for sums of extreme values
• A simple general approach to inference about the tail of a distribution
• Central limit theorems for sums of extreme values
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• Regularly varying functions

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