Asymptotic properties of the tail distribution and Hill's estimator for shot noise sequence

DOI10.1007/s10687-011-0144-8zbMath1329.62241OpenAlexW2086854885MaRDI QIDQ907360

William P. McCormick, Chenhua Zhang

Publication date: 25 January 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-011-0144-8

zbMATH Keywords

regular variationtail indexvon Mises conditionheavy tailshot noiseHill's estimatorhigher-order expansionsecond-order regularly varying

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Cites Work

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• Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise
• Confidence intervals for the tail index

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