Pregled bibliografske jedinice broj: 750970
Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data
Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data // Statistics (Berlin), 49 (2015), 6; 1221-1242 doi:10.1080/02331888.2014.969267 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 750970 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data
Autori
Grahovac, Danijel ; Jia, Mofei ; Leonenko, Nikolai ; Taufer, Emanuele
Izvornik
Statistics (Berlin) (0233-1888) 49
(2015), 6;
1221-1242
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
heavy tails; partition function; scaling function; tail index
Sažetak
The so-called partition function is a sample moment statistic based on blocks of data and it is often used in the context of multifractal processes. It will be shown that its behaviour is strongly influenced by the tail of the distribution underlying the data either in i.i.d. and weakly dependent cases. These results will be exploited to develop graphical and estimation methods for the tail index of a distribution. The performance of the tools proposed is analyzed and compared with other methods by means of simulations and examples.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Projekti:
235-2352818-1039 - Statistički aspekti problema procjene u nelinearnim parametarskim modelima (Benšić, Mirta, MZOS ) ( CroRIS)
Ustanove:
Sveučilište u Osijeku, Odjel za matematiku
Profili:
Danijel Grahovac
(autor)
Poveznice na cjeloviti tekst rada:
Pristup cjelovitom tekstu rada doi
www.tandfonline.com
www.tandfonline.com
dx.doi.org
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
