K -record values and the extreme-value index
Identifieur interne : 001402 ( France/Analysis ); précédent : 001401; suivant : 001403K -record values and the extreme-value index
Auteurs : Mohamed Berred [France]Source :
- Journal of Statistical Planning and Inference [ 0378-3758 ] ; 1995.
Abstract
Let X1, X2,… be a sequence of i.i.d. random variables with a continuous distribution function F. Under the assumption that F is in the domain of attraction of an extreme value distribution, we introduce an estimate of the extreme-value index based on the successive k-record values. We also investigate the asymptotic behavior of this statistic. We finally give some numerical results concerning the behavior of this estimate in practice.
Url:
DOI: 10.1016/0378-3758(94)00062-X
Affiliations:
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