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Tail-behavior of estimators and of their one-step versions
The finite-sample breakdown points and finite-sample tail behavior are studied. A lower bound for the tail behavior of an M-estimator is derived, showing how fasterare the tails of estimator than the t...
BA - Obecná matematika
- 2012 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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)
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)
Tail behavior of the least squares estimator
The tail behavior of the least-squares estimator in the linear regression model is studied under random matrix and asymptotically with respect to increasing number of observations....
BA - Obecná matematika
- 2001 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Tail behavior of the least squares estimator
Tail behavior of the least squares estimator is considered with a random design and with infinitely increasing n and with gamma equal to the population extreme. We find a fairly good behavior of LSE for normal F....
BA - Obecná matematika
- 2000 •
- 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
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
Asymptotic and Finite-Sample Properties in Statistical Estimation
Our purpose in the present paper is to illustrate some distinctive differences between the asymptotic and finite-sample properties of robust estimators. We shall devote attention to the tail-behavior of M-estimators and of their one...
BA - Obecná matematika
- 2015 •
- C •
- Link
Rok uplatnění
C - Kapitola v odborné knize
Výsledek na webu
Tail behavior of the Central European stock markets during the financial crisis
markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian probability distribution model and discuss its tail behavior. As the estimation of the tail exponent is very sensitive to ...
AH - Ekonomie
- 2010 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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
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
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