OPTIMAL CHOICE OF SAMPLE FRACTION IN EXTREME-VALUE ESTIMATION

被引：76

作者：

DEKKERS, ALM ^{[1
]}

DEHAAN, L ^{[1
]}

机构：

[1] ERASMUS UNIV ROTTERDAM,3000 DR ROTTERDAM,NETHERLANDS

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 1993年 / 47卷 / 02期

关键词：

EXTREME-VALUE THEORY; ORDER STATISTICS; ASYMPTOTIC NORMALITY; MEAN SQUARED ERROR; REGULAR VARIATION; PI-VARIATION; INVERSE COMPLEMENTARY FUNCTION;

D O I：

10.1006/jmva.1993.1078

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the asymptotic bias of the moment estimator γ̂n for the extreme-value index γ ∈ R under quite natural and general conditions on the underlying distribution function. Furthermore the optimal choice for the sample franction in estimating γ is considered by minimizing the mean squared error of γ̂n - γ. The results cover all three limiting types of extreme-value theory. The connection between statistics and regular variation and Π-variation is handled in a systematic way. © 1993 Academic Press, Inc.

引用

页码：173 / 195

页数：23

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