| 一类新的位置不变矩估计及其渐近正态性 |
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| 引用本文： | 刘维奇,梁珊珊.一类新的位置不变矩估计及其渐近正态性[J].数学研究及应用,2018,38(3):293-302. |
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| 作者姓名： | 刘维奇 梁珊珊 |
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| 作者单位： | 山西大学管理与决策研究中心, 山西 太原 030006; 山西财经大学财政金融学院, 山西 太原 030006,山西大学数学科学学院, 山西 太原 030006 |
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| 基金项目： | 国家自然科学基金(Grant No.15BJY164). |
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| 摘 要： | The moment estimator has been widely used in extreme value theory in order to estimate the extreme value index, however it is not location invariant. In this paper, based on the moment-type estimator, we propose a new location invariant moment-type estimator,and discuss its asymptotic normality under the second order regular variation. Finally, a simulation is presented to compare this new estimator with another location invariant momenttype estimator γ_n~M(k_0, k) proposed by Ling, which indicates that the new estimator has good performances.
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| 关 键 词： | 极值指数 矩估计 正则变化 位置不变 渐近性质 |
| 收稿时间： | 2017/3/16 0:00:00 |
| 修稿时间： | 2018/3/1 0:00:00 |
A New Location Invariant Moment-Type Estimator and Its Asymptotic Normality |
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| Weiqi LIU and Shanshan LIANG.A New Location Invariant Moment-Type Estimator and Its Asymptotic Normality[J].Journal of Mathematical Research with Applications,2018,38(3):293-302. |
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| Authors: | Weiqi LIU and Shanshan LIANG |
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| Abstract: | The moment estimator has been widely used in extreme value theory in order to estimate the extreme value index, however it is not location invariant. In this paper, based on the moment-type estimator, we propose a new location invariant moment-type estimator, and discuss its asymptotic normality under the second order regular variation. Finally, a simulation is presented to compare this new estimator with another location invariant moment-type estimator $\hat{\gamma}_{n}^{M}(k_{0},k)$ proposed by Ling, which indicates that the new estimator has good performances. |
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| Keywords: | extreme value index moment-type estimator regular variation location invariant asymptotic normality |
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