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A functional law of the iterated logarithm for the dekkers-einmahl-de haan tail index estimator
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Author:
Khelifa Tobbal a
| Affiliation: | a L.S. T.A, Universit Paris VI, Paris Cedex, France |
DOI:
10.1080/10485259508832640
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
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(English)
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Abstract
We present a functional law of the iterated logarithm for the Dekkers-Einmahl-de Haan tail index estimator based on the kn upper order statistics of a sample of size n from a Pareto-type distribution, with kn satisfying kn→∞ together with
 Our arguments are based on limiting theorems for the tail empirical processes due to Deheuvels and Mason Deheuvels and Mason and Deheuvels, Haeusler and Mason (1988).
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| Keywords: Functional laws of the iterated logarithm; empirical distribution function; empirical quantile funcition; order statistics |
| AMS Subject Classification: 60F15; 60F05; 62630 |
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