On the tail index inference based on the scaling function method (CROSBI ID 612662)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Grahovac, Danijel ; Jia, Mofei ; Leonenko, Nikolai N. ; Taufer, Emanuele
engleski
On the tail index inference based on the scaling function method
In Grahovac et al. (2014) arXiv:1310.0333, a new method has been presented for making inference about the tail of samples coming from unknown heavy-tailed distribution. Method is based on asymptotic properties of the empirical structure function, a variant of statistic that resembles usual sample moments. Using this approach one can successfully inspect the nature of the tail of the underlying distribution, as well as provide estimated values on the unknown tail index. Here we briefly describe the method and test its performance on some simulated and real world data by comparing it with the well known Hill estimator.
heavy-tailed distributions; tail index; empirical structure function; scaling functions; Hill estimator
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Podaci o prilogu
39-45.
2014.
objavljeno
Podaci o matičnoj publikaciji
Proceedings of the 18th European Young Statisticians Meeting
Šuvak, Nenad
Osijek: J. J. Strossmayer University of Osijek, Department of Mathematics
978-953-6931-70-5
Podaci o skupu
Nepoznat skup
predavanje
29.02.1904-29.02.2096