Asymptotic Normality of Extreme Value Estimators on C[0,1]
AbstractConsider n i.i.d. random elements on C[0; 1].We show that under an appropriate strengthening of the domain of attraction condition natural estimators of the extreme-value index, which is now a continuous function, and the normalizing functions have a Gaussian process as limiting distribution.A key tool is the weak convergence of a weighted tail empirical process, which makes it possible to obtain the results uniformly on [0; 1].Detailed examples are also presented.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2003-132.
Date of creation: 2003
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Web page: http://center.uvt.nl
estimation; infinite dimensional systems; convergence; statistics;
Other versions of this item:
- Einmahl, J.H.J. & Lin, T., 2006. "Asymptotic normality of extreme value estimators on C[0,1]," Open Access publications from Tilburg University urn:nbn:nl:ui:12-174781, Tilburg University.
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