On the asymptotic normality of Hill's estimator

DOI10.1017/S0305004100073710zbMath0877.62016OpenAlexW2123596139MaRDI QIDQ4872295

László Viharos, Sándor Csörgö

Publication date: 14 December 1997

Published in: Mathematical Proceedings of the Cambridge Philosophical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0305004100073710

zbMATH Keywords

order statisticsasymptotic normalityHill's estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Related Items (3)

Limit laws for the norms of extremal samples ⋮ ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA ⋮ Testing for small bias of tail index estimators

Cites Work

• Tail estimates motivated by extreme value theory
• Kernel estimates of the tail index of a distribution
• 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

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