Asymptotically efficient estimation of the index of regular variation
Wei, Xiaoying
Ann. Statist., Tome 23 (1995) no. 6, p. 2036-2058 / Harvested from Project Euclid
We propose a conditional MLE of the index of regular variation when the functional form of a slowly varying function is assumed known in the tail, and we study its asymptotic properties. We prove asymptotic normality of $P_{\theta}^{k_n}$, a probability measure whose density is the product of the joint conditional density of the $k_n$ largest order statistics from $F_{\theta} (x)$ given $Z_{n-k}$, the $$(n-k)$th order statistic, and a density of $Z_{n-k}$ with parameter $\theta$. Based on this result, we show that this conditional MLE is asymptotically normal and asymptotically efficient in many senses whenever $k_n$ is $o(n)$. We also propose an iterative estimator of $\theta$ given only partial knowledge of $L_{\theta}(x)$. This estimator is asymptotically normal, asymptotically unbiased and asymptotically efficient.
Publié le : 1995-12-14
Classification:  LAN,  asymptotic efficient estimator,  the index of regular variation,  62F12,  62G20
@article{1034713646,
     author = {Wei, Xiaoying},
     title = {Asymptotically efficient estimation of the index of regular variation},
     journal = {Ann. Statist.},
     volume = {23},
     number = {6},
     year = {1995},
     pages = { 2036-2058},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1034713646}
}
Wei, Xiaoying. Asymptotically efficient estimation of the index of regular variation. Ann. Statist., Tome 23 (1995) no. 6, pp.  2036-2058. http://gdmltest.u-ga.fr/item/1034713646/