کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077610 | 1374139 | 2006 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Weak convergence of a bootstrap geometric-type estimator with applications to risk theory
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Weak convergence of a bootstrap geometric-type estimator with applications to risk theory Weak convergence of a bootstrap geometric-type estimator with applications to risk theory](/preview/png/5077610.png)
چکیده انگلیسی
Based on least square considerations, Brito and Moreira Freitas [Brito, M., Moreira Freitas, A.C., 2003. Limiting behaviour of a geometric-type estimator for tail indices. Insurance: Math. Econ. 33, 211-226] proposed a geometric-type estimator for estimating an exponential tail coefficient. We consider here the tail bootstrap method introduced by Bacro and Brito [Bacro, J.N., Brito, M., 1998. A tail bootstrap procedure for estimating the tail Pareto index. J. Stat. Plan. Infer. 71, 245-260] and show that this procedure works for this estimator. Moreover, we extend the application given in Brito and Moreira Freitas [Brito, M., Moreira Freitas, A.C., 2003. Limiting behaviour of a geometric-type estimator for tail indices. Insurance: Math. Econ. 33, 211-226], by showing that the results obtained may be applied to the related problem of estimating the adjustment coefficient in the Sparre Andersen model, under the standard conditions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 38, Issue 3, 15 June 2006, Pages 571-584
Journal: Insurance: Mathematics and Economics - Volume 38, Issue 3, 15 June 2006, Pages 571-584
نویسندگان
Margarida Brito, Ana Cristina Moreira Freitas,