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arXiv · 1912.06928

Extremes, extremal index estimation, records, moment problem for the Pseudo-Lindley distribution and applications

Gane Samb Lo·Modou Ngom·Moumouni Diallo
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Abstract

The pseudo-Lindley distribution which was introduced in Zeghdoudi and Nedjar (2016) is studied with regards to its upper tail. In that regard, and when the underlying distribution function follows the Pseudo-Lindley law, we investigate the behavior of its values, the asymptotic normality of the Hill estimator and the double-indexed generalized Hill statistic process (Ngom and Lo), the asymptotic normality of the records values and the moment problem.

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Gane Samb Lo, Modou Ngom, Moumouni Diallo. 2019-12-14. Extremes, extremal index estimation, records, moment problem for the Pseudo-Lindley distribution and applications. https://arxiv.org/abs/1912.06928

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