تقرير
Modification of Moment-Based Tail Index Estimator: Sums versus Maxima
| العنوان: | Modification of Moment-Based Tail Index Estimator: Sums versus Maxima |
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| المؤلفون: | Markovich, Natalia, Vaičiulis, Marijus |
| سنة النشر: | 2017 |
| المجموعة: | Mathematics Statistics |
| مصطلحات موضوعية: | Mathematics - Statistics Theory |
| الوصف: | In this paper we continue the investigation of the SRCEN estimator of the extreme value index $\gamma$ (or the tail index $\alpha=1/\gamma$) proposed in \cite{MCE} for $\gamma>1/2$. We propose a new estimator based on the local maximum. This, in fact, is a modification of the SRCEN estimator to the case $\gamma>0$. We establish the consistency and asymptotic normality of the newly proposed estimator for i.i.d. data. Also, a short discussion on the comparison of the estimators is included. Comment: To appear in Springer Proceedings in Mathematics and Statistics |
| نوع الوثيقة: | Working Paper |
| الوصول الحر: | http://arxiv.org/abs/1710.03084Test |
| رقم الانضمام: | edsarx.1710.03084 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |