Estimation of the tail index in the max-aggregation scheme

被引：0
作者：
Vygantas Paulauskas
Marijus Vaičiulis
机构：
[1] Vilnius University,Faculty of Mathematics and Informatics
[2] Vilnius University,Institute of Mathematics and Informatics
来源：
Lithuanian Mathematical Journal | 2012年 / 52卷
关键词：
asymptotic normality; Hill estimator; mean-squared error; tail index; 62 F12; 62 G32; 60 F05;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we continue the investigation of an estimator proposed in [V. Paulauskas and M. Vaičiulis, Several modifications of DPR estimator of the tail index, Lith. Math. J., 51(1):36–50, 2011]. Specifically, we investigate the asymptotic behavior of the so-called DPR estimator under several mostly popular max-aggregation schemes.
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页码：297 / 315
页数：18
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