Nalazite se na CroRIS probnoj okolini. Ovdje evidentirani podaci neće biti pohranjeni u Informacijskom sustavu znanosti RH. Ako je ovo greška, CroRIS produkcijskoj okolini moguće je pristupi putem poveznice www.croris.hr
izvor podataka: crosbi !

On the tail index inference based on the scaling function method (CROSBI ID 612662)

Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija

Grahovac, Danijel ; Jia, Mofei ; Leonenko, Nikolai N. ; Taufer, Emanuele On the tail index inference based on the scaling function method // Proceedings of the 18th European Young Statisticians Meeting / Šuvak, Nenad (ur.). Osijek: J. J. Strossmayer University of Osijek, Department of Mathematics, 2014. str. 39-45

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

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

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

Povezanost rada

Matematika