A functional law of the iterated logarithm for the Dekkers-Einmahl-de Haan tail index estimator

Khelifa Tobbal

Statistics & Probability Letters, 1996, vol. 29, issue 1, 15-22

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 --> [infinity] together with kn = o(log log n) as n --> [infinity]. Our arguments are based on limiting theorems for the tail empirical processes due to Deheuvels and Mason (1990), and Deheuvels (1992).

Keywords: Functional; laws; of; the; iterated; logarithm; Empirical; distribution; function; Empirical; quantile; function; Order; statistics (search for similar items in EconPapers)
Date: 1996
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