Asymptotic Analysis of a Measure of Variation

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Serval ID
serval:BIB_7A653C04F53A
Type
Article: article from journal or magazin.
Collection
Publications
Title
Asymptotic Analysis of a Measure of Variation
Journal
Theory of Probability and Mathematical Statistics
Author(s)
Albrecher H., Teugels J. L.
ISSN
0094-9000
Publication state
Published
Issued date
2007
Peer-reviewed
Oui
Volume
74
Pages
1-10
Language
english
Abstract
Let Xi, i = 1,…, n, be a sequence of positive independent identically distributed random variables and define (Formula Presented). Utilizing Karamata’s theory of functions of regular variation, we determine the asymptotic behaviour of arbitrary moments (Formula Presented), k ∈ ℕ, for large n, given that X1 satisfies a tail condition, akin to the domain of attraction condition from extreme value theory. As a by-product, the paper offers a new method for estimating the extreme value index of Pareto-type tails.
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09/02/2009 20:27
Last modification date
20/08/2019 15:36
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