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Extremes, extremal index estimation, records, moment problem for the Pseudo-Lindley distribution and applications (1912.06928v1)
Published 14 Dec 2019 in math.ST, stat.ME, and stat.TH
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.