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| SOME RESULTS ON ESTIMATION OF THE TAILINDEX OF A DISTRIBUTION |
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Citation： |
Pan Jiazhu.SOME RESULTS ON ESTIMATION OF THE TAILINDEX OF A DISTRIBUTION[J].Chinese Annals of Mathematics B,1998,19(2):239~248 |
| Page view： 1239
Net amount： 785 |
Authors： |
Pan Jiazhu; |
Foundation： |
Project supported by the National Natural Science
Foundation of China (19601007), and the Doctoral Program Foundation of Higher Education. |
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| Abstract： |
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' estimator. The
similar results about Hill's estimator are also obtained, which generalize the corresponding
results in [8, 9]. Besides, some comparisons between Hill's
estimator and the modified Pickands' estimator are given. |
Keywords： |
Tail index, Parameter estimation,
Strong convergence, Mean squared error, Comparisons of estimators |
Classification： |
62E20, 62G30 |
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