| MOMENT ESTIMATION FOR MULTIVARIATE EXTREME VALUE DISTRIBUTION |
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| 作者姓名： | SHIDAOJI |
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| 作者单位： | DeportmentofMathematics,TianjinUniversity,Tianjin,300072 |
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| 摘 要： | Moment estimation for multivariate extreme value distribution is described in this paper. Asymptotic covariance matrix of the estimators is given. The relative efficiencies of moment estimators as compared with the maximum likelihood and the stepwise estimators are computed. We show that when there is strong dependence between the variates, the generalized variance of moment estimators is much lower than the stepwise estimators. It becomes more obvious when the dimension increases.
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| 关 键 词： | 矩法估计 多端值分布 协方差 随机变量 |
| 收稿时间： | 18 June 1993 |
Moment estimation for multivariate extreme value distribution |
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| SHIDAOJI.MOMENT ESTIMATION FOR MULTIVARIATE EXTREME VALUE DISTRIBUTION[J].Applied Mathematics A Journal of Chinese Universities,1995,10(1):61-68. |
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| Authors: | Shi Daoji |
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| Institution: | (1) Department of Mathematics, Tianjin University, 300072 Tianjin |
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| Abstract: | Moment estimation for multivariate extreme value distribution is described in this paper. Asymptotic covariance matrix of
the estimators is given. The relative efficiencies of moment estimators as compared with the maximum likelihood and the stepwise
estimators are computed. We show that when there is strong dependence between the variates, the generalized variance of moment
estimators is much lower than the stepwise estimators. It becomes more obvious when the dimension increases.
Research supported by the National Natural Science Foundation of China. |
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| Keywords: | 62H12 62F12 |
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