Second-order regular variation, convolution and the central limit theorem

J. Geluk, L. de Haan, S. Resnick and Catalin Starica

Stochastic Processes and their Applications, 1997, vol. 69, issue 2, 139-159

Abstract: Second-order regular variation is a refinement of the concept of regular variation which is useful for studying rates of convergence in extreme value theory and asymptotic normality of tail estimators. For a distribution tail 1 - F which possesses second-order regular variation, we discuss how this property is inherited by 1 - F2 and 1 - F*2. We also discuss the relationship of central limit behavior of tail empirical processes, asymptotic normality of Hill's estimator and second-order regular variation.

Keywords: Regular; variation; Second-order; behavior; Tail; empirical; measure; Extreme; value; theory; Convolution; Maxima; Hill; estimator (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (10)

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