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Expansions for Quantiles and Multivariate Moments of Extremes for Heavy Tailed Distributions

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Resumo:(...)The study of the asymptotes of the moments of Xn,r has been of considerable interest. McCord [12] gave a first approximation to the moments of Xn,1 for three classes. This showed that a moment of Xn,1 can behave like any positive power of n or n1 = log n. (Here, log is to the base e.) Pickands [15] explored the conditions under which various moments of (Xn,1 − bn) /an converge to the corresponding moments of the extreme value distribution. It was proved that this is indeed true for all F in the domain of attraction of an extreme value distribution provided that the moments are finite for sufficiently large n. Nair [13] investigated the limiting behavior of the distribution and the moments of Xn,1 for large n when F is the standard normal distribution function. (...)
Autores principais:Withers , Christopher
Outros Autores:Nadarajah, Saralees
Assunto:Bell polynomials extremes inversion theorem moments quantiles
Ano:2017
País:Portugal
Tipo de documento:artigo
Tipo de acesso:unknown
Instituição associada:Instituto Nacional de Estatística
Idioma:inglês
Origem:REVSTAT-Statistical Journal

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