A Bahadur-Kiefer Theorem beyond the Largest Observation

It is shown that under natural extreme-value conditions a distributional Bahadur-Kiefer theorem holds in a point lying outside the sample. The limiting distribution is degenerate if the extreme-value index is equal to one; the proper refinement for that case is also established. In both cases the limiting distribition is chi-square with one degree of freedom.

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Year of publication:	1995
Authors:	Einmahl, J. H. J.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 55.1995, 1, p. 29-38
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221715