Asymptotic analysis of generalized Greenwood statistics for very heavy tails

Hansjörg Albrecher and Brandon García Flores

Statistics & Probability Letters, 2022, vol. 185, issue C

Abstract: We consider some variants of the classical Greenwood statistic and analyze their asymptotic properties for regularly varying random variables with arbitrary index of variation. We also investigate the convergence rate of these asymptotics and study how many terms are asymptotically relevant for the resulting expressions. This naturally generalizes and unifies some earlier results in the literature.

Keywords: Karamata theory; Infinite-mean models; Pareto-type distributions (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109429

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