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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2003-132.
Date of creation: 2003
Date of revision:
Contact details of provider:
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.
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Richard Broekman).
If references are entirely missing, you can add them using this form.