In certain cases partial sums of i.i.d. random variables with finite variance are better approximated by a sequence of stable distributions with indices \alpha_n \to 2 than by a normal distribution. We discuss when this happens and how much the convergence rate can be improved by using...

In certain cases partial sums of i.i.d. random variables with finite variance are better approximated by asequence of stable distributions with indices alpha_n o 2 than by a normal distribution. We discusswhen this happens and how much the convergence rate can be improved by using...

Parametric models for tail copulas are being used for modeling tail dependence and maximum likelihood estimation is employed to estimate unknown parameters. However, two important questions seem unanswered in the literature: (1) What is the asymptotic distribution of the MLE and (2) how does one...

Let F and G be multivariate probability distribution functions, each with equal one dimensional marginals, such that there exists a sequence of constants an 0, n [set membership, variant] , with [formula] for all continuity points (x1, ..., xd) of G. The distribution function G is characterized...

We study the asymptotic bias of the moment estimator [gamma]n for the extreme-value index [gamma] [set membership, variant] 5 under quite natural and general conditions on the underlying distribution function. Furthermore the optimal choice for the sample franction in estimating [gamma] is...

An asymptotic theory is developed for the estimation of high quantile curves, i.e., sets of points in higher dimensional space for which the exeedance probability is pn, with npn -- 0 (n -- [infinity]). Here n is the number of available observations. This is the situation of interest if one...

Internet auctions attract numerous agents, but only a few become active bidders. A major difficulty in the structural analysis of internet auctions is that the number of potential bidders is unknown. Under the independent private value paradigm (IPVP)the valuations of the active bidders form a...

We are interested in the derivation of the distributional properties of a weighted log-excesses estimator of a positive tail index "&ggr;". One of the main objectives of such an estimator is the accommodation of the dominant component of asymptotic bias, together with the maintenance of the...

Internet auctions attract numerous agents, but only a few become active bidders. A major difficulty in the structural analysis of internet auctions is that the number of potential bidders is unknown. Under the independent private value paradigm (IPVP)the valuations of the active bidders form a...

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the sample fraction, in the sense of minimal mean squared error, which is needed for tail index estimation. Unlike previous methods our procedure is fully self contained. In particular, the...