Estimating the Mean of Heavy-Tailed Distributions
β Scribed by Joachim Johansson
- Book ID
- 111581718
- Publisher
- Springer
- Year
- 2003
- Tongue
- English
- Weight
- 662 KB
- Volume
- 6
- Category
- Article
- ISSN
- 1386-1999
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π SIMILAR VOLUMES
Different estimators of high quantiles, such as x c p proposed in [N.M. Markovitch, U.R. Krieger, The estimation of heavy-tailed probability density functions, their mixtures and quantiles. Computer Networks 40 (3) (2002) 459-474], Weissman's estimator x w p and the POT-method are considered. Regard
We establish estimators for the tail index of heavy-tailed distributions. A large deviation principle is proved. An estimator with U-statistic structure is constructed and its asymptotic normality is established. An estimator based on re-sampling procedure is developed and this provides a possibilit