Weak Convergence of the Empirical Mean Excess Process with Application to Estimate the Negative Tail Index

Jürg Hüsler () and Deyuan Li
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Jürg Hüsler: University of Bern
Deyuan Li: University of Bern

Methodology and Computing in Applied Probability, 2008, vol. 10, issue 4, 577-593

Abstract: Abstract Let Y i , 1 ≤ i ≤ n be i.i.d. random variables with the generalized Pareto distribution W γ,σ with γ

Keywords: Mean excess function; Tail index; Linear regression; Empirical mean excess process; Goodness-of-fit test; 62G32; 60G70 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s11009-007-9065-z

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