Asymptotic expansions of estimators for the tail index with applications

被引：16

作者：

Cheng, SH ^{[1
]}

Pan, JZ ^{[1
]}

机构：

[1] Peking Univ, Inst Math Sci, Beijing 100871, Peoples R China

来源：

SCANDINAVIAN JOURNAL OF STATISTICS | 1998年 / 25卷 / 04期

关键词：

asymptotic expansion; comparison of estimators; parameter estimation; tail index;

D O I：

10.1111/1467-9469.00131

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 present asymptotic expansions for two well-known estimators of the tail index of a distribution-the Hill's estimator and the simplified Pickands' estimator. We then use the expansions to get more accurate interval estimates. Comparisons between the two estimators are also discussed.

引用

页码：717 / 728

页数：12

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