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A Bahadur-Kiefer Theorem beyond the Largest Observation

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Author Info
Einmahl, J. H. J.

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Abstract

It is shown that under natural extreme-value conditions a distributional Bahadur-Kiefer theorem holds in a point lying outside the sample. The limiting distribution is degenerate if the extreme-value index is equal to one; the proper refinement for that case is also established. In both cases the limiting distribition is chi-square with one degree of freedom.

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File URL: http://www.sciencedirect.com/science/article/B6WK9-45S952J-15/2/248e2a06fe3bd196ce60fade8bfaf01e
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Publisher Info
Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 55 (1995)
Issue (Month): 1 (October)
Pages: 29-38
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Handle: RePEc:eee:jmvana:v:55:y:1995:i:1:p:29-38

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