A supermartingale argument for characterizing the functional Hill process weak law for small parameters

Abstract

The paper deals with the asymptotic laws of functionals of standard exponential random variables. These classes of statistics are closely related to estimators of the extreme value index when the underlying distribution function is in the Weibull domain of attraction. We use techniques based on martingales theory to describe the non Gaussian asymptotic distribution of the aforementioned statistics. We provide results of a simulation study as well as statistical tests that may be of interest with the proposed results

A general strong law of large numbers and applications to associated sequences and to extreme value theory

“…Next, we will particularize the result for f (j) = j τ , τ > 0. Our results depend on computation techniques developed in [6]. Here are our results :…”

“…Let us treat each term in the above equality. Here, we use Formulas 18 and 21 in [6] and take L large enough to ensure (7.2)…”