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ESTIMATION OF THE SECOND ORDER PARAMETER CHARACTERIZING THE TAIL BEHAVIOR OF PROBABILITY DISTRIBUTIONS: ASYMPTOTIC NORMALITY  

Yun Seok-Hoon (Department of Applied Statistics, University of Suwon)
Publication Information
Journal of the Korean Statistical Society / v.35, no.1, 2006 , pp. 91-103 More about this Journal
Abstract
Yun (2005) introduced an estimator of the second order parameter characterizing the tail behavior of probability distributions and proved its consistency. In this paper we prove its asymptotic normality under a third order condition.
Keywords
Second order parameter; extreme value distribution; extreme value index; asymptotic normality;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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