Asymptotic expansion for distribution function of moment estimator for the extreme-value index

Jiazhu Pan, Shihong Cheng

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

Asymptotic expansion for distribution function of the moment estimator γ Mn for the extreme-value index is obtained under reasonable conditions of second order regular variation.
LanguageEnglish
Pages1131-1143
Number of pages13
JournalScience in China Series A: Mathematics
Volume43
Issue number11
DOIs
Publication statusPublished - Nov 2000

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Extreme Value Index
Regular Variation
Moment Estimator
Asymptotic Expansion
Distribution Function

Keywords

  • extreme-value theory
  • parameter estimation
  • asymptotic expansion

Cite this

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title = "Asymptotic expansion for distribution function of moment estimator for the extreme-value index",
abstract = "Asymptotic expansion for distribution function of the moment estimator γ Mn for the extreme-value index is obtained under reasonable conditions of second order regular variation.",
keywords = "extreme-value theory , parameter estimation, asymptotic expansion",
author = "Jiazhu Pan and Shihong Cheng",
year = "2000",
month = "11",
doi = "10.1007/BF02872191",
language = "English",
volume = "43",
pages = "1131--1143",
journal = "Science in China Series A: Mathematics",
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}

Asymptotic expansion for distribution function of moment estimator for the extreme-value index. / Pan, Jiazhu; Cheng, Shihong.

In: Science in China Series A: Mathematics, Vol. 43, No. 11, 11.2000, p. 1131-1143.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Asymptotic expansion for distribution function of moment estimator for the extreme-value index

AU - Pan, Jiazhu

AU - Cheng, Shihong

PY - 2000/11

Y1 - 2000/11

N2 - Asymptotic expansion for distribution function of the moment estimator γ Mn for the extreme-value index is obtained under reasonable conditions of second order regular variation.

AB - Asymptotic expansion for distribution function of the moment estimator γ Mn for the extreme-value index is obtained under reasonable conditions of second order regular variation.

KW - extreme-value theory

KW - parameter estimation

KW - asymptotic expansion

U2 - 10.1007/BF02872191

DO - 10.1007/BF02872191

M3 - Article

VL - 43

SP - 1131

EP - 1143

JO - Science in China Series A: Mathematics

T2 - Science in China Series A: Mathematics

JF - Science in China Series A: Mathematics

SN - 1006-9283

IS - 11

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