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Strong Consistency of Crovella Estimation for the Tail Index of Regular Variation Heavy-Tailed Distribution(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2007年03期
Page:
26-30
Research Field:
数学
Publishing date:

Info

Title:
Strong Consistency of Crovella Estimation for the Tail Index of Regular Variation Heavy-Tailed Distribution
Author(s):
Chen Xianghong; Yang Jilong
School of Mathematics and Computer Science,Nanjing Normal University,Nanjing 210097,China
Keywords:
regular var ia tion;  heavy-ta iled distributions;  ta il index;  Crov ella estim a tion;  strong cons is tency
PACS:
O211
DOI:
-
Abstract:
The estim ation o f ta il index fo r regular va riation heavy-ta iled distributions aroused ou r concern, m any scho lars proposed several m ethods, but all of them have som e disadvantages. C rove lla presented a new m ethod based on the scaling properties of sum s o f heavy-ta iled random variab les. It has the advantages o f being easy to app ly, and o f be ing re la tive ly accurate. In th is paper, the estim ation presented by C rove lla is desc ribed, and tha t the Crove lla estim ato r has strong consistency is proved.

References:

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Last Update: 2013-05-05