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Suppose X, X,..., Xn denote n iid observations from a Random Variable X~ F(x), and let xo denote the 90th percentile of the cdf
Suppose X, X,..., Xn denote n iid observations from a Random Variable X~ F(x), and let xo denote the 90th percentile of the cdf F. that is F(x) = P(X 0) = 0.90. Let An= 5 [F(x) - 0.9]. Does the sequence of random variables A, converges weakly (in distribution) to some random variable A, as n goes to infinity? If yes, find the limiting distribution of A
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Statistical Inference
Authors: George Casella, Roger L. Berger
2nd edition
0534243126, 978-0534243128
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