Asymptotic normality of extreme value estimators on C[0,1]

John Einmahl and Tzu-Chin Lin ()

No 132, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: Consider n i.i.d. random elements on C[0; 1]. We show that under an appropriate strengthening of the domain of attraction condition natural estimators of the extreme-value index, which is now a continuous function, and the normalizing functions have a Gaussian process as limiting distribution. A key tool is the weak convergence of a weighted tail empirical process, which makes it possible to obtain the results uniformly on [0; 1]. Detailed examples are also presented.

New Economics Papers: this item is included in nep-ecm
Date: 2003
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