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Asymptotic expansion for distribution function of moment estimator for the extreme-value index

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Abstract

Asymptotic expansion for distribution function of the moment estimator\(\hat \gamma _n^M \) for the extreme-value index is obtained under reasonable conditions of second order regular variation.

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Authors and Affiliations

  1. School of Mathematical Sciences, Peking University, 100871, Beijing, China

    Jiazhu Pan & Shihong Cheng

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  1. Jiazhu Pan
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  2. Shihong Cheng
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Correspondence to Jiazhu Pan.

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Pan, J., Cheng, S. Asymptotic expansion for distribution function of moment estimator for the extreme-value index. Sci. China Ser. A-Math. 43, 1131–1143 (2000). https://doi.org/10.1007/BF02872191

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  • DOI: https://doi.org/10.1007/BF02872191

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