Author:
Jennessen Tobias,Bücher Axel
Abstract
AbstractThe sequential tail empirical process is analyzed in a stochastic model allowing for serially dependent observations and heteroscedasticity of extremes in the sense of Einmahl et al. (J. R. Stat. Soc. Ser. B. Stat. Methodol. 78(1), 31–51, 2016). Weighted weak convergence of the sequential tail empirical process is established. As an application, a central limit theorem for an estimator of the extreme value index is proven.
Funder
Heinrich-Heine-Universität Düsseldorf
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Engineering (miscellaneous),Statistics and Probability
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