Abelian and Tauberian Theorems on the Bias of the Hill Estimator

DOI10.1111/1467-9469.00301zbMath1035.62042OpenAlexW2005999254MaRDI QIDQ4455912

Johan Segers

Publication date: 16 March 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00301

zbMATH Keywords

asymptotic behaviourtail indexO-regularly varying functionMatuzewska index

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (7)

Tail index estimation, concentration and adaptivity ⋮ Are there common values in first-price auctions? A tail-index nonparametric test ⋮ Inference about the tail of a distribution: improvement on the Hill estimator ⋮ New power limits for extremes ⋮ Sample Path Large Deviations for Order Statistics ⋮ Limit laws for the norms of extremal samples ⋮ ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA

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• Semiparametric lower bounds for tail index estimation
• Using a bootstrap method to choose the sample fraction in tail index estimation
• A bootstrap-based method to achieve optimality in estimating the extreme-value index

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