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New type of estimator of Pareto tail index
We construct a new estimator and test of the Pareto type tail index of a probability distribution, based on a tail behavior property of sample means. The estimator is illustrated on a simulation study....
BA - Obecná matematika
- 2002 •
- Vx
Rok uplatnění
Vx - Nezařazeno - Výzkumná zpráva obsahující utajované informace (takový výsledek lze do RIV vložit pouze v případě, že zpráva obsahuje utajované informace a pole R12 = U), nebo souhrnná výzkumná zpráva
Tests on the Tail Index using the L-estimates
In the family of heavy -tailed distribution functions with nondegenerate right tail we test the hypothesis about the index. the proposed test is fully nonparametric and is based on the set of observations into N subsamples of size n...
BA - Obecná matematika
- 2002 •
- D
Rok uplatnění
D - Stať ve sborníku
Estimates of the tail index based on nonparametric tests
The authors recently constructed several nonparametric tests of one-sided hypotheses on the value of the Pareto-type tail index. Inverting the tests in the Hodges-Lehmann manner, we obtain strongly consistent estimators....
BA - Obecná matematika
- 2004 •
- C
Rok uplatnění
C - Kapitola v odborné knize
A Class of Test on the Tail Index
In the family of distribution function with nondegenerate right tail we test the hypothesis on the tail index.
BB - Aplikovaná statistika, operační výzkum
- 2001 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
A class of test on the tail index using the modified extreme regression quantiles
Test of the hypothesis on the tail index using modified extreme quantiles.
BB - Aplikovaná statistika, operační výzkum
- 2001 •
- D
Rok uplatnění
D - Stať ve sborníku
Estimating Pareto tail index based on sample means
"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 consi...
BA - Obecná matematika
- 2004 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Heavy tailed durations of regional rainfall
Recent research suggests that the probability distribution of durations of rains have heavy tails of hyperbolic type. The paper performs a nonparametric inference on the Pareto tail-index of wet and dry durations b...
BA - Obecná matematika
- 2008 •
- D
Rok uplatnění
D - Stať ve sborníku
Estimating Pareto tail index based on sample means
We propose an estimator of the Pareto index m, based on the tail behavior of the sample mean. The estimator is strongly consistent and asymptotically normal. Its behavior is illustrated in a simulation study....
BA - Obecná matematika
- 2004 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Estimates of the tail index based on nonparametric tests
Inverting the tests on the Pareto-type tail index m in the Hodges-Lehmann manner, we obtain strongly consistent estimate of m. The simulation study demonstrates surprisingly good estimation of m....
BA - Obecná matematika
- 2004 •
- D
Rok uplatnění
D - Stať ve sborníku
Heavy Tailed Durations of Regional Rainfall
tails of hyperbolic type, across a wide range of spatial scales from 2 km to 120 km on the Pareto tail-index of wet and dry durations at each of those spatial scales, based is the shape of upper tails of ...
BB - Aplikovaná statistika, operační výzkum
- 2008 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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