Tail index estimation based on linear combinations of intermediate order statistics

L. Viharos

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Tail index estimation based on linear combinations of intermediate order statistics

机译：基于中间阶统计量线性组合的尾部索引估计

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摘要

Based on linear combinations of intermediate order statistics, we introduce a new class of estimators for the exponent of a distribution function F with a regularly varying upper tail. We prove asymptotic normality and we make a comparison with existing proposals using the mean squared error as criterion.

机译：基于中间阶统计量的线性组合，我们针对具有规则变化的上尾的分布函数F的指数引入了一类新的估计器。我们证明了渐近正态性，并使用均方误差作为准则与现有提议进行了比较。

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来源
《Statistica neerlandica》 |1997年第2期|164-177|共14页
作者
L. Viharos;
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作者单位

Bolyai Institute University of Szeged Aradi vÉrtanÚk tere 1 6720 Szeged Hungary;

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原文格式 PDF
正文语种 eng
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关键词
Intermediate order statistics; extreme-value theory; parameter estimation;

机译：中间阶统计;极值理论;参数估计;

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1. Estimation of the Weibull tail-coefficient with linear combination of upper order statistics [J] . Gardes L, Girard S Journal of Statistical Planning and Inference . 2008,第5期

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2. Statistical regularization in linearized microwave imaging through MRF-based MAP estimation: hyperparameter estimation and image computation [J] . Pascazio V., Ferraiuolo G. IEEE Transactions on Image Processing . 2003,第5期

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3. Heavy tail index estimation based on block order statistics [J] . Xiong Li, Peng Zuoxiang Journal of statistical computation and simulation . 2020,第10a12期

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4. Removal of mixed noise by adaptive linear combination of weighted order statistics (LWOS) filters based on local statistics [C] . Taguchi Akira, Inoue Tadasuke European Signal Processing Conference . 1998

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5. Robust and nonparametric statistical methods for Pareto distribution tail index estimation, with actuarial science applications. [D] . Brazauskas, Vytaras. 1999

机译：用于Pareto分布尾指数估计的稳健且非参数统计方法，并具有精算科学应用。
6. A Statistical Estimation Approach for Quantitative Concentrations of Compounds Lacking Authentic Standards/Surrogates Based on Linear Correlations between Directly Measured Detector Responses and Carbon Number of Different Functional Groups [O] . Yong-Hyun Kim, Ki-Hyun Kim 2013

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7. Estimation of the Weibull tail-coefficient with linear combination of upper order statistics [O] . Gardes, Laurent, Girard, Stéphane 2011

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8. Estimation of Distribution Parameters by a Combination of the Best Linear Order Statistic Method and Maximum Likelihood. [R] . Weibull, W. 1967

机译：最优线性有序统计方法与最大似然估计的分布参数估计。

Tail index estimation based on linear combinations of intermediate order statistics

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