Local Asymptotic Normality in Extreme Value Index Estimation

Frank Marohn

Annals of the Institute of Statistical Mathematics, 1997, vol. 49, issue 4, 645-666

Keywords: Extreme value distribution; extreme value index; domain of attraction; generalized Pareto distribution; Hill estimator; local asymptotic normality; central sequence; asymptotic efficiency (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1023/A:1003210125157

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