کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10525210 | 957931 | 2005 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Generalized Pickands estimators for the extreme value index
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
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چکیده انگلیسی
The Pickands estimator for the extreme value index is generalized in a way that includes all of its previously known variants. A detailed study of the asymptotic behavior of the estimators in the family serves to determine its optimally performing members. These are given by simple, explicit formulas, have the same asymptotic variance as the maximum likelihood estimator in the generalized Pareto model, and are robust to departures from the limiting generalized Pareto model in case the convergence of the excess distribution to its limit is slow. A simulation study involving a wide range of distributions shows the new estimators to compare favorably with the maximum likelihood estimator.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 128, Issue 2, 1 February 2005, Pages 381-396
Journal: Journal of Statistical Planning and Inference - Volume 128, Issue 2, 1 February 2005, Pages 381-396
نویسندگان
Johan Segers,