Estimating Pareto tail index based on sample means
Result description
"It proposes an estimator of the Pareto tail index based on all observations; its idea rests in the tail behavior of the sample mean having a simple structure under heavy-tailed d.f."The estimator is strongly consistent and asymptotically normal.
Keywords
Domain of attractionPareto indexStrong embedding of empirical processTail behavior
The result's identifiers
Result code in IS VaVaI
Alternative codes found
RIV/46747885:24510/04:00000073
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Estimating Pareto tail index based on sample means
Original language description
"It proposes an estimator of the Pareto tail index based on all observations; its idea rests in the tail behavior of the sample mean having a simple structure under heavy-tailed d.f."The estimator is strongly consistent and asymptotically normal.
Czech name
Odhad Paretova indexu na základě výběrových průměrů
Czech description
Je navržen odhad Paretova indexu, který je založen na použití všech pozorování. Odhad je konzistentní a asymptoticky normální.
Classification
Type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
GA205/02/0871: Development of statistical downscaling methods for climate change impact research
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2004
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Revstat
ISSN
1645-6726
e-ISSN
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Volume of the periodical
2
Issue of the periodical within the volume
1
Country of publishing house
PT - PORTUGAL
Number of pages
25
Pages from-to
75-99
UT code for WoS article
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EID of the result in the Scopus database
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Basic information
Result type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP
BA - General mathematics
Year of implementation
2004