Extremes, Extremal Index Estimation, Records, Moment Problem for the Pseudo-Lindley Distribution and Applications

Gane Samb Lo, Modou Ngom, Moumouni Diallo

Abstract

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

Keywords

Lindley's distribution, Pseudo-Lindley distribution, Extreme value theory, record values, Hill's estimator, asymptotic laws

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