SOME RESULTS ON ESTIMATION OF THE TAIL INDEX OF A DISTRIBUTION

作     者：PAN JIAZHU 

作者机构：Beijing Univ Dept Math Beijing 100871 Peoples R China 

出 版 物：《Chinese Annals of Mathematics,Series B》 (数学年刊(B辑英文版))

年 卷 期：1998年第19卷第2期

页      面：239-248页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

主　　题：Tail index Parameter estimation,Strong convergence Mean squared error Comparisons of estimators 

摘      要：The author obtains the rate of strong convergence,mean squared error and optimal choice of the“smoothing parameter(the sample fraction)of a tail index estimator which was proposed by the author from Pickands’estimator,and called modified Pickands’*** similar results about Hill’s estimator are also obtained,which generalize the corresponding results ***,some comparisons between Hill’s estimator and the modified Pickands’estimator are given.