arXiv · 1208.1487
Demmartingales and the functionnal Hill process for small parameters
Abstract
Association of random variables and Demimartingales are recent fields for handling asymptotic behaviors of sums of dependent random variables. We apply their techniques to establish the asymptotic law of a demimartingale We next apply the results to find the asymptotic behavior the functional Hill process for small parameters within the Extreme Value Theory (EVT) field. Such a result would have been very hard to find whithout demimartingales techniques.
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Adja Mbarka Fall, Gane Samb Lo, Cheikhna Hamallah Ndiaye. 2012-08-07. Demmartingales and the functionnal Hill process for small parameters. https://arxiv.org/abs/1208.1487
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