文章基本信息

标题：A note on second order conditions in extreme value theory: linking general and heavy tail conditions
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作者：M. Isabel Fraga Alves ; M. Ivette Gomes ; Laurens de Haan 等
期刊名称：RevStat : Statistical Journal
印刷版ISSN：1645-6726
出版年度：2007
卷号：5
期号：3
页码：285-304
出版社：Instituto Nacional de Estatística
摘要：Second order conditions ruling the rate of convergence in any first order condition involving regular variation and assuring a unified extreme value limiting distribution function for the sequence of maximum values, linearly normalized, have appeared in several contexts whenever researchers are working either with a general tail, i.e., ∈ R, or with heavy tails, with an extreme value index > 0. In this paper we shall clarify the link between the second order parameters, say and e that have appeared in the two above mentioned set-ups, i.e., for a general tail and for heavy tails, respectively. We illustrate the theory with some examples and, for heavy tails, we provide a link with a third order framework
关键词：extreme value index; regular variation; semi-parametric estimation.