A supermartingale argument for characterizing the functional Hill process weak law for small parameters View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2017-01

AUTHORS

A. M. Fall, G. S. Lo, A. Adekpedjou, C. H. Ndiaye

ABSTRACT

The paper deals with the asymptotic laws of functionals of standard exponential random variables. These classes of statistics are closely related to estimators of the extreme value index when the underlying distribution function is in theWeibull domain of attraction.We use techniques based on martingales theory to describe the non-Gaussian asymptotic distribution of the aforementioned statistics.We provide results of a simulation study as well as statistical tests that may be of interest with the proposed results. More... »

PAGES

68-80

References to SciGraph publications

  • 1977. Graduate Texts in Mathematics in NONE
  • 2009-06. Ratio of Generalized Hill’s estimator and its asymptotic normality theory in MATHEMATICAL METHODS OF STATISTICS
  • 1968-12. Stochastically monotone Markov Chains in PROBABILITY THEORY AND RELATED FIELDS
  • 1987. Extreme Values, Regular Variation and Point Processes in NONE
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.3103/s1066530717010057

    DOI

    http://dx.doi.org/10.3103/s1066530717010057

    DIMENSIONS

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