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arXiv · 1111.3988

A functional Generalized Hill process and applications

Gane Samb Lo·El Hadji Deme
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Abstract

We are concerned in this paper with the functional asymptotic behaviour of the sequence of stochastic processes T_{n}(f)=\sum_{j=1}^{j=k}f(j)(\log X_{n-j+1,n}-\log X_{n-j,n}), indexed by some classes $\mathcal{F}$ of functions $f:\mathbb{N} \backslash {0} \longmapsto \mathbb{R}_{+}$ and where $k=k(n)$ satisfies 1\leq k\leq n,k/n\rightarrow 0\text{as}n\rightarrow \infty. This is a functional generalized Hill process including as many new estimators of the extremal index when $F$ is in the extremal domain. We focus in this paper on its functional and uniform asymptotic law in the new setting of weak convergence in the space of bounded real functions. The results are next particularized for explicit examples of classes $\mathcal{F} $.

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Gane Samb Lo, El Hadji Deme. 2011-11-16. A functional Generalized Hill process and applications. https://arxiv.org/abs/1111.3988

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