کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1154898 958419 2012 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymptotically unbiased estimation of the second order tail parameter
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Asymptotically unbiased estimation of the second order tail parameter
چکیده انگلیسی

We introduce a class of asymptotically unbiased estimators for the second order parameter in extreme value statistics. The estimators are constructed by means of an appropriately chosen linear combination of two simple, but biased, kernel estimators for the second order parameter. Asymptotic normality is proven under a third order condition on the tail behavior, some conditions on the kernel functions and for an intermediate number of upper order statistics. A specific member from the proposed class, obtained with power kernel functions, is derived and its finite sample behavior studied in a small simulation experiment.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 82, Issue 3, March 2012, Pages 565–573
نویسندگان
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