A Law of the Iterated Logarithm for Sums of Extreme Values from a Distribution with a Regularly Varying Upper Tail
Haeusler, Erich ; Mason, David M.
Ann. Probab., Tome 15 (1987) no. 4, p. 932-953 / Harvested from Project Euclid
Let $X_1, X_2,\ldots$ be independent observations from a distribution with a regularly varying upper tail with index $a$ greater than 2. For each $n \geq 1$, let $X_{1,n} \leq \cdots \leq X_{n,n}$ denote the order statistics based on $X_1,\ldots, X_n$. Choose any sequence of integers $(k_n)_{n\geq 1}$ such that $1 \leq k_n \leq n, k_n \rightarrow \infty$, and $k_n/n \rightarrow 0$. It has been recently shown by S. Csorgo and Mason (1986) that the sum of the extreme values $X_{n,n} + \cdots + X_{n-k_n,n}$, when properly centered and normalized, converges in distribution to a standard normal random variable. In this paper, we completely characterize such sequences $(k_n)_{n\geq 1}$ for which the corresponding law of the iterated logarithm holds.
Publié le : 1987-07-14
Classification:  Law of the iterated logarithm,  sums of extreme values,  order statistics,  empirical processes,  62G30,  60F15
@article{1176992074,
     author = {Haeusler, Erich and Mason, David M.},
     title = {A Law of the Iterated Logarithm for Sums of Extreme Values from a Distribution with a Regularly Varying Upper Tail},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 932-953},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992074}
}
Haeusler, Erich; Mason, David M. A Law of the Iterated Logarithm for Sums of Extreme Values from a Distribution with a Regularly Varying Upper Tail. Ann. Probab., Tome 15 (1987) no. 4, pp.  932-953. http://gdmltest.u-ga.fr/item/1176992074/