On Joint Estimation of an Exponent of Regular Variation and an Asymmetry Parameter for Tail Distributions

  • Marjorie G. Hahn
  • Daniel C. Weiner
Part of the Progress in Probability book series (PRPR, volume 23)


A random variable X is said to have a joint tail distribution which is regularly varying of index -α if for each c > 0,
$$ \mathop {\lim }\limits_{t \to \infty } \frac{{P(\left| X \right| > \,ct)}}{{P(|X|\, > \,t)}}\, = \,c^{ - \alpha }.$$


Asymptotic Normality Optimal Rate Asymmetry Parameter Regular Variation Bias Term 
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Copyright information

© Birkhäuser Boston 1991

Authors and Affiliations

  • Marjorie G. Hahn
    • 1
  • Daniel C. Weiner
    • 2
  1. 1.Department of MathematicsTufts UniversityMedfordUSA
  2. 2.Department of MathematicsBoston UniversityBostonUSA

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