WEAK LIMITING BEHAVIOR OF A SIMPLE TAIL PARETO-INDEX ESTIMATOR

被引：9

作者：

BACRO, JN

BRITO, M

机构：

[1] UNIV PARIS 05, CNRS, UA 1323, F-75006 PARIS, FRANCE

[2] UNIV PORTO, MATEMAT APLICADA GRP, P-4000 OPORTO, PORTUGAL

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1995年 / 45卷 / 1-2期

关键词：

PARETO DISTRIBUTION; ORDER STATISTICS; REGULAR VARIATION; PARAMETER ESTIMATION;

D O I：

10.1016/0378-3758(94)00060-3

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 investigate the weak asymptotic properties of a simple estimator of the exponent of a distribution with regularly varying upper tail. It is shown that this estimator is asymptotically normal if the underlying distribution function satisfies some general conditions. These basic conditions are then simplified under appropriate assumptions on the tail of the distribution.

引用

页码：7 / 19

页数：13

共 16 条

[1]

BACRO JN, 1993, STATIST DEC S, P133

[2] KERNEL ESTIMATES OF THE TAIL INDEX OF A DISTRIBUTION [J].