Acta mathematica scientia,Series A ›› 2014, Vol. 34 ›› Issue (3): 611-618.

• Articles • Previous Articles     Next Articles

Asymptotic Properties of the Negative Extreme-value Index Estimator

 TAO Bao   

  1. College of Mathematics and Statistics, Chongqing Technology and Business University, Chongqing 400067
  • Received:2011-04-19 Revised:2013-11-22 Online:2014-06-25 Published:2014-06-25
  • Supported by:

    国家自然科学基金(11101452)和重庆市教委科学技术研究项目(KJ100726)资助

Abstract:

As the extreme-value index is negative, the author proposes the negative extreme-value index estimator, whose weak and strong consistency are proved.  Under the second order regularly varying condition, the author obtains the rate of strong convergence, asymptotic expansion and proves asymptotic normality. Moreover, the optimal choice of the smoothing parameter is discussed.

Key words: Negative extreme-value index, Weak consistency, Strong consistency, Rate of strong convergence, Asymptotic , expansion

CLC Number: 

  • 62G32
Trendmd