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On record values and the exponent of a distribution with regularly varying upper tail

Part of: Parametric inference

Published online by Cambridge University Press:  14 July 2016

Mohamed Berred
Mohamed Berred*
Affiliation:
Université Paris-VI
*
∗Postal address: C.R.E.S.T.-E.N.S.A.E., 12 rue Boulitte, 75014 Paris, France.
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Abstract

Let {Xn, n ≧ 1} be an i.i.d. sequence of positive random variables with a continuous distribution function having a regularly varying upper tail. Denote by {X(n), n ≧ 1} the corresponding sequence of record values. We introduce two statistics based on the sequence of successive record values and investigate their asymptotic behaviour. We also give some numerical results.

Keywords

RECORDSEXTREME VALUESREGULAR VARIATIONPARAMETRIC ESTIMATIONTAIL ESTIMATION

MSC classification

Primary: 62F10: Point estimation
Secondary: 62F12: Asymptotic properties of estimators
Type
Research Papers
Information
Journal of Applied Probability , Volume 29 , Issue 3 , September 1992 , pp. 575 - 586
Copyright
Copyright © Applied Probability Trust 1992 

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Footnotes

This work was supported by C.R.E.S.T.-E.N.S.A.E.

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