Tail index estimation based on linear combinations of intermediate order statistics

Statistica Neerlandica

Volumn 51, Issue 2, 1997, Pages 164-177

  Viharos, L ^a  

^a UNIVERSITY OF SZEGED   (Hungary)

Author keywords

Extreme value theory; Intermediate order statistics; Parameter estimation

Indexed keywords

EID: 0031477096     PISSN: 00390402     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9574.00048     Document Type: Article

References (10)

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2. CSÖRGO, S., and D. M. MASON (1985), Central limit theorems for sums of extreme values, Mathematical Proceedings of the Cambridge Philosophical Society 98, 547-558.
3. CSÖRGO, S., and D. M. MASON (1994), The asymptotic distribution of intermediate sums, The Annals of Probability 22, 145-159.
4. CSÖRGO, S., and L. VIHAROS (1995), On the asymptotic normality of Hill's estimator, Mathematical Proceedings of the Cambridge Philosophical Society 118, 375-382.
5. DE HAAN, L. (1970), On Regular Variation and its Application to the Weak Convergence of Sample Extremes, Mathematical Centre Tracts 32, Mathematisch Centrum, Amsterdam.
6. HALL, P. (1982), On some simple estimates of an exponent of regular variation, Journal of the Royal Statistical Society, Series B 44, 37-42.
7. HILL, B. M. (1975), A simple general approach to inference about the tail of a distribution, The Annals of Statistics 3, 1163-1174.
8. PICKANDS, J. III (1975), Statistical inference using extreme order statistics, The Annals of Statistics 3, 119-131.
9. VIHAROS, L. (1995), Limit theorems for linear combinations of extreme values with applications to inference about the tail of a distribution, Acta Scientiarum Mathematicarum (Szeged) 60, 761-777.
10. VIHAROS, L. (1996), Asymptotic distributions of linear combinations of intermediate order statistics, Acta Mathematica Hungarica 72, to appear.