Abstract
It is shown that under natural extreme-value conditions a distributional Bahadur-Kiefer theorem holds in a point lying outside the sample. The limiting distribution is degenerate if the extreme-value index is equal to one; the proper refinement for that case is also established. In both cases the limiting distribition is chi-square with one degree of freedom.
Original language | English |
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Pages (from-to) | 29-38 |
Number of pages | 10 |
Journal | Journal of Multivariate Analysis |
Volume | 55 |
Issue number | 1 |
DOIs | |
Publication status | Published - 1995 |