A class of location invariant estimators for heavy tailed distributions. Issue 3 (1st February 2023)
- Record Type:
- Journal Article
- Title:
- A class of location invariant estimators for heavy tailed distributions. Issue 3 (1st February 2023)
- Main Title:
- A class of location invariant estimators for heavy tailed distributions
- Authors:
- Zhang, Lvyun
Chen, Shouquan - Abstract:
- Abstract: In this paper, a new class of location-invariant semi-parametric estimators of a positive extreme value index γ > 0 is proposed. Its asymptotic distributional representation and asymptotic normality are derived, and the optimal choice of the sample fraction by mean squared error is also discussed for some special cases. Finally comparison studies are provided for some familiar models by Monte Carlo simulations.
- Is Part Of:
- Communications in statistics. Volume 52:Issue 3(2023)
- Journal:
- Communications in statistics
- Issue:
- Volume 52:Issue 3(2023)
- Issue Display:
- Volume 52, Issue 3 (2023)
- Year:
- 2023
- Volume:
- 52
- Issue:
- 3
- Issue Sort Value:
- 2023-0052-0003-0000
- Page Start:
- 896
- Page End:
- 917
- Publication Date:
- 2023-02-01
- Subjects:
- Asymptotic normality -- location invariant heavy tailed index estimator -- second order regular variation
60G70 -- 62G32 -- 62F12
Mathematical statistics -- Periodicals
Mathematics
Statistics
519.2 - Journal URLs:
- http://www.tandfonline.com/ ↗
- DOI:
- 10.1080/03610926.2021.1931335 ↗
- Languages:
- English
- ISSNs:
- 0361-0926
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 3363.432000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 25150.xml