Large deviation probabilities for tail index estimators
We study the asymptotic behavior of large deviation probabilities for a general class of tail index estimators. This new class consists of the generalized version of the weighted least-squares estimators proposed by Viharos [9] and also contains the class of kernel estimators obtained by Csörgő et a...
Elmentve itt :
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| Dokumentumtípus: | Cikk |
| Megjelent: |
Bolyai Institute, University of Szeged
Szeged
2008
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| Sorozat: | Acta scientiarum mathematicarum
74 No. 1-2 |
| Kulcsszavak: | Matematika |
| Tárgyszavak: | |
| Online Access: | http://acta.bibl.u-szeged.hu/16247 |
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| 100 | 1 | |a Viharos László | |
| 245 | 1 | 0 | |a Large deviation probabilities for tail index estimators |h [elektronikus dokumentum] / |c Viharos László |
| 260 | |a Bolyai Institute, University of Szeged |b Szeged |c 2008 | ||
| 300 | |a 413-423 | ||
| 490 | 0 | |a Acta scientiarum mathematicarum |v 74 No. 1-2 | |
| 520 | 3 | |a We study the asymptotic behavior of large deviation probabilities for a general class of tail index estimators. This new class consists of the generalized version of the weighted least-squares estimators proposed by Viharos [9] and also contains the class of kernel estimators obtained by Csörgő et al. [3]. Based on the large deviation probabilities, a comparison of the members of this class can be made. The Hill estimator turns out to have optimal rate of convergence within a subclass of estimators. | |
| 650 | 4 | |a Természettudományok | |
| 650 | 4 | |a Matematika | |
| 695 | |a Matematika | ||
| 856 | 4 | 0 | |u http://acta.bibl.u-szeged.hu/16247/1/math_074_numb_001_002_413-423.pdf |z Dokumentum-elérés |