Asymptotic test for independence of extreme values
β Scribed by C. C. Y. Dorea; E. S. Miasaki
- Publisher
- Akadmiai Kiad
- Year
- 1993
- Tongue
- English
- Weight
- 186 KB
- Volume
- 62
- Category
- Article
- ISSN
- 1588-2632
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
For a sequence of partial sums of d-dimensional independent identically distributed random vectors a corresponding multivariate renewal process is defined componentwise. Via strong invariance together with an extreme value limit theorem for Rayleigh processes, a number of weak asymptotic results are
Estimators of the extreme-value index are based on a set of upper order statistics. When the number of upper-order statistics used in the estimation of the extreme-value index is small, the variance of the estimator will be large. On the other hand, the use of a large number of upper statistics will