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Limit theorems for tail processes with application to intermediate quantile estimation

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  • Einmahl, J.H.J.

    (Tilburg University, School of Economics and Management)

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Suggested Citation

  • Einmahl, J.H.J., 1992. "Limit theorems for tail processes with application to intermediate quantile estimation," Other publications TiSEM 063e51b0-445d-4764-96a2-4, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:063e51b0-445d-4764-96a2-4f128bdb3d76
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/618606/JE31___.PDF
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    Citations

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    Cited by:

    1. Marc Henry & Koen Jochmans & Bernard Salanié, 2014. "Inference on Mixtures Under Tail Restrictions," Working Papers hal-01053810, HAL.
    2. Jochmans, Koen & Henry, Marc & Salanié, Bernard, 2017. "Inference On Two-Component Mixtures Under Tail Restrictions," Econometric Theory, Cambridge University Press, vol. 33(3), pages 610-635, June.
    3. Kulik, Rafal & Soulier, Philippe, 2011. "The tail empirical process for long memory stochastic volatility sequences," Stochastic Processes and their Applications, Elsevier, vol. 121(1), pages 109-134, January.
    4. Einmahl, J.H.J. & de Haan, L.F.M. & Li, D., 2004. "Weighted Approximations of Tail Copula Processes with Application to Testing the Multivariate Extreme Value Condition," Other publications TiSEM 0b2c1bfa-d609-494a-8929-8, Tilburg University, School of Economics and Management.
    5. repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p2m96cphi is not listed on IDEAS
    6. Einmahl, J.H.J. & de Haan, L.F.M. & Piterbarg, V.I., 2001. "Nonparametric estimation of the spectral measure of an extreme value distribution," Other publications TiSEM c3485b9b-a0bd-456f-9baa-0, Tilburg University, School of Economics and Management.
    7. Einmahl, J.H.J. & de Haan, L.F.M. & Li, D., 2006. "Weighted approximations of tail copula processes with applications to testing the bivariate extreme value condition," Other publications TiSEM 18b65ac3-ba79-4bff-ad53-2, Tilburg University, School of Economics and Management.
    8. Ahmed, Hanan, 2022. "Extreme value statistics using related variables," Other publications TiSEM 246f0f13-701c-4c0d-8e09-e, Tilburg University, School of Economics and Management.
    9. Wang, Xing & Peng, Liang, 2016. "Inference for intermediate Haezendonck–Goovaerts risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 231-240.
    10. Geluk, J. & de Haan, L. & Resnick, S. & Starica, C., 1997. "Second-order regular variation, convolution and the central limit theorem," Stochastic Processes and their Applications, Elsevier, vol. 69(2), pages 139-159, September.
    11. repec:hal:wpspec:info:hdl:2441/f6h8764enu2lskk9p2m96cphi is not listed on IDEAS

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