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Weak Convergence of the Empirical Mean Excess Process with Application to Estimate the Negative Tail Index

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  • Jürg Hüsler

    (University of Bern)

  • Deyuan Li

    (University of Bern)

Abstract

Let Y i , 1 ≤ i ≤ n be i.i.d. random variables with the generalized Pareto distribution W γ,σ with γ

Suggested Citation

  • Jürg Hüsler & Deyuan Li, 2008. "Weak Convergence of the Empirical Mean Excess Process with Application to Estimate the Negative Tail Index," Methodology and Computing in Applied Probability, Springer, vol. 10(4), pages 577-593, December.
    • Handle: RePEc:spr:metcap:v:10:y:2008:i:4:d:10.1007_s11009-007-9065-z
    DOI: 10.1007/s11009-007-9065-z
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    References listed on IDEAS

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    1. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
    2. Holger Drees, 1998. "On Smooth Statistical Tail Functionals," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 25(1), pages 187-210, March.
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