A simple estimator for the M-index of functions in M

Meitner Cadena (1, 2)

1 UPMC - Université Pierre et Marie Curie - Paris 6
2 ESSEC Business School

An estimator for the M-index of functions of M, a larger class than the class of regularly varying (RV) functions, is proposed. This index is the tail index of RV functions and this estimator is thus a new one on the class of RV functions. This estimator satisfies, assuming suitable conditions, strong consistency. Asymptotic normality of this estimator is proved for a large class of RV functions.

Mots clés: estimator; regularly varying function; weak consistency; strong consistency; extreme value theory

Domaines: Autres [stat.ML]; Statistiques [math.ST]

Meitner Cadena. A simple estimator for the M-index of functions in M. 2015. ⟨hal-01142162⟩