Asymptotic normality of location invariant heavy tail index estimator

DOI10.1007/S10687-009-0088-4zbMath1329.62232OpenAlexW2044755633MaRDI QIDQ650731

Jiaona Li, Zuo Xiang Peng, Saralees Nadarajah

Publication date: 27 November 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-009-0088-4

zbMATH Keywords

asymptotic normalitytail indexsecond order regular variationlocation invariant index estimator

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (7)

Heavy tail index estimation based on block order statistics ⋮ Weak properties and robustness of t-Hill estimators ⋮ Location invariant heavy tail index estimation with block method ⋮ Location invariant Weiss-Hill estimator ⋮ An estimator of heavy tail index through the generalized jackknife methodology ⋮ Asymptotic results for conditional measures of association of a random sum ⋮ Strong convergence bound of the Pareto index estimator under right censoring

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