SCOPUS 정보 검색 플랫폼

Volumn 136, Issue 3, 2006, Pages 780-802

A functional law of the iterated logarithm for kernel-type estimators of the tail index

Author keywords

Extreme value index; Functional laws of the iterated logarithm; Hill estimator; Strong consistency; Tail quantile process

Indexed keywords

EID: 28044440075 PISSN: 03783758 EISSN: None Source Type: Journal
DOI: 10.1016/j.jspi.2004.07.013 Document Type: Article

Times cited : (5)

References (14)

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- Kernel estimates of the tail index of the distribution
- S. Csörgo P. Deheuvels D. Mason Kernel estimates of the tail index of the distribution Ann. Statist. 13 1985 1050-1077
- (1985) Ann. Statist. , vol.13 , pp. 1050-1077
- Csörgo, S.¹ Deheuvels, P.² Mason, D.³

2
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- The asymptotic behavior of sums of exponential extreme values
- P. Deheuvels D. Mason The asymptotic behavior of sums of exponential extreme values Bull. Sci. Math. 112 1988 211-233
- (1988) Bull. Sci. Math. , vol.112 , pp. 211-233
- Deheuvels, P.¹ Mason, D.²

3
- 84976003944
- Almost sure convergence of the Hill estimator
- P. Deheuvels E. Haeusler D. Mason Almost sure convergence of the Hill estimator Math. Proc. Camb. Philos. Soc. 104 1988 371-381
- (1988) Math. Proc. Camb. Philos. Soc. , vol.104 , pp. 371-381
- Deheuvels, P.¹ Haeusler, E.² Mason, D.³

4
- 28044448522
- On the almost sure behavior of sums of extreme values from a distribution in the domain of attraction of a Gumbel law
- P. Deheuvels E. Haeusler D. Mason On the almost sure behavior of sums of extreme values from a distribution in the domain of attraction of a Gumbel law Bull. Sci. Math. 114 1992 61-95
- (1992) Bull. Sci. Math. , vol.114 , pp. 61-95
- Deheuvels, P.¹ Haeusler, E.² Mason, D.³

5
- 0039947840
- Strong limit theorems for weighted quantile process
- J.H. Einmahl D. Mason Strong limit theorems for weighted quantile process Ann. Probab. 16 1988 1623-1643
- (1988) Ann. Probab. , vol.16 , pp. 1623-1643
- Einmahl, J.H.¹ Mason, D.²

6
- 0003998752
- Springer Berlin
- P. Embrechts C. Klüppelberg T. Mikosch Modelling Extremal Events for Insurance and Finance 1997 Springer Berlin
- (1997) Modelling Extremal Events for Insurance and Finance
- Embrechts, P.¹ Klüppelberg, C.² Mikosch, T.³

7
- 1442308353
- Kernel estimators for the extreme value index
- P. Groeneboom H.P. Lopuhaä P.P. de Wolf Kernel estimators for the extreme value index Ann. Statist. 31 2003 1956-1995
- (2003) Ann. Statist. , vol.31 , pp. 1956-1995
- Groeneboom, P.¹ Lopuhaä, H.P.² de Wolf, P.P.³

8
- 0001263124
- A simple approach to inference about the tail of a distribution
- B.M. Hill A simple approach to inference about the tail of a distribution Ann. Statist. 3 1975 1163-1174
- (1975) Ann. Statist. , vol.3 , pp. 1163-1174
- Hill, B.M.¹

10
- 0000782528
- Laws of the large numbers for sums of extreme values
- D. Mason Laws of the large numbers for sums of extreme values Ann. Probab. 10 1982 754-764
- (1982) Ann. Probab. , vol.10 , pp. 754-764
- Mason, D.¹

13
- 0000187772
- An invariant principal for the law of the iterated logarithm
- V. Strassen An invariant principal for the law of the iterated logarithm Z. Wahrscheinlichkeitstheorie. verw. Gebiete. 3 1964 211-226
- (1964) Z. Wahrscheinlichkeitstheorie. Verw. Gebiete. , vol.3 , pp. 211-226
- Strassen, V.¹

14
- 0002812608
- Limit theorems for the ratio of the empirical distribution function to the true distribution function
- J.A. Wellner Limit theorems for the ratio of the empirical distribution function to the true distribution function Z. Wahrscheinlichkeitstheorie. verw. Gebiete. 45 1978 73-88
- (1978) Z. Wahrscheinlichkeitstheorie. Verw. Gebiete. , vol.45 , pp. 73-88
- Wellner, J.A.¹

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