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JOURNALS // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika // Archive

Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2014 Number 1, Pages 3–6 (Mi vmumm289)

Mathematics

Properties of Hill's estimator of extreme value index for impure samples

I. V. Rodionov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: In this paper we consider the consistency and asymptotic normality of the Hill estimator of the extreme value index for a sample from the sequence of independent and identically distributed random variables with asymptotically increasing additive pollution. In addition, the cases when the statistical construction of the estimator is possible are analyzed.

Key words: extreme value index, Hill estimator, consistency, asymptotic normality, additive pollution.

UDC: 519.27

Received: 14.10.2011


 English version:
Moscow University Mathematics Bulletin, Moscow University Måchanics Bulletin, 2014, 69:1, 1–4

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