ASYMPTOTIC PROPERTIES OF GENERALIZED DPR STATISTIC

被引：0

作者：

Vaiciulis, Marijus ^{[1
,2
]}

机构：

[1] Vilnius State Univ, Inst Math & Informat, LT-08663 Vilnius, Lithuania

[2] Vilnius State Univ, Fac Math & Informat, LT-03225 Vilnius, Lithuania

来源：

LITHUANIAN MATHEMATICAL JOURNAL | 2012年 / 52卷 / 01期

关键词：

asymptotic normality; DPR estimator; Hill estimator; Pickands estimator; mean-squared error; tail index; TAIL INDEX; ESTIMATORS; DISTRIBUTIONS; INFERENCE;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We investigate asymptotic properties of the so-called generalized Davydov, Paulauskas, and Rackauskas statistic that was introduced in [V. Paulauskas and M. Vaiciulis, Several modifications of DPR estimator of the tail index, Lith. Math. J., 51(1):36-50,2011]. We obtain an asymptotics of the bias of this statistic and show that this statistic is asymptotically normal. As an application, we provide a new class of semiparametric heavy-tailed estimators and compare these estimators with other estimators, including the popular Hill and Pickands estimators.

引用

页码：95 / 110

页数：16

共 50 条

[1] Asymptotic properties of generalized DPR statistic
Marijus Vaičiulis
Lithuanian Mathematical Journal, 2012, 52 (1) : 95 - 110
[2] On two asymptotic normal distributions for the generalized Wilks Lambda statistic
Coelho, CA
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2000, 29 (07) : 1465 - 1486
[3] ASYMPTOTIC FORMULAS FOR THE DISTRIBUTION OF HOTELLINGS GENERALIZED T-02 STATISTIC
ITO, K
ANNALS OF MATHEMATICAL STATISTICS, 1956, 27 (04): : 1091 - 1105
[4] ASYMPTOTIC FORMULAE FOR THE DISTRIBUTION OF HOTELLINGS GENERALIZED T02 STATISTIC
ITO, K
ANNALS OF MATHEMATICAL STATISTICS, 1955, 26 (04): : 770 - 770
[5] AN ASYMPTOTIC EXPANSION FOR NONNULL DISTRIBUTION OF HOTELLINGS GENERALIZED T02 STATISTIC
SIOTANI, M
ANNALS OF MATHEMATICAL STATISTICS, 1969, 40 (03): : 1148 - &
[6] ON THE ASYMPTOTIC-DISTRIBUTION OF THE GENERALIZED U-STATISTIC FOR DEPENDENT-VARIABLES
KHASHIMOV, SA
THEORY OF PROBABILITY AND ITS APPLICATIONS, 1988, 32 (02) : 373 - 375
[7] EQUIVALENCE PROPERTIES OF THE HAUSMAN STATISTIC BASED ON A GENERALIZED INVERSE
THURSBY, JG
DEZHBAKHSH, H
ECONOMICS LETTERS, 1990, 33 (02) : 147 - 151
[8] Asymptotic properties of the functional of generalized work
Knyazev, I.A.
Fadeev, Yu.M.
Avtomatika i Telemekhanika, 1994, (06): : 27 - 33
[9] ASYMPTOTIC EXPANSION OF NON-NULL DISTRIBUTION OF HOTELLINGS GENERALIZED TO2-STATISTIC
SIOTANI, M
ANNALS OF MATHEMATICAL STATISTICS, 1971, 42 (02): : 560 - &
[10] ASYMPTOTIC LINEARITY OF RANK STATISTIC
ANTILLE, A
ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1972, 24 (04): : 309 - 324

← 1 2 3 4 5 →